Aloui Donia
Carthage Business School, University of Tunis Carthage, Tunisia.
GEF2A Lab, Institut Supérieur de Gestion de Tunis, Tunisia.
Financ Res Lett. 2021 Nov;43:102025. doi: 10.1016/j.frl.2021.102025. Epub 2021 Mar 19.
The sudden spread of the COVID-19 pandemic disturbed the entire macroeconomic system and overturned the expectations of financial market participants and decision-makers. Using a TVP-BVAR-SV model, I investigate the transmission of the quantitative easing (QE) to the exchange rate and the business credit in the Eurozone during the pre-and post-COVID-19 outbreak. I find that the responses of the exchange rate EUR/USD to monetary policy shocks vary over time. In particular, I show that the QE policy does not generate the expected effect on the exchange rate during the COVID-19 pandemic period. The results imply that the unforeseen COVID-19 crisis has disturbed and modified investors' behavior.
新冠疫情的突然蔓延扰乱了整个宏观经济体系，颠覆了金融市场参与者和决策者的预期。我使用时变参数贝叶斯向量自回归带随机波动（TVP-BVAR-SV）模型，研究了新冠疫情爆发前后量化宽松政策（QE）在欧元区对汇率和商业信贷的传导。我发现，欧元兑美元汇率对货币政策冲击的反应随时间而变化。特别是，我表明量化宽松政策在新冠疫情期间并未对汇率产生预期效果。结果意味着，不可预见的新冠危机扰乱并改变了投资者的行为。
