References
- 1. Adam, T., Benecká, S., & Matějů, J. (2018). Financial stress and its nonlinear impact on CEE exchange rates. Journal of Financial Stability, 36(C), 346–360.
- 2. Aizenman, J., Binici, M., & Hutchinson, M. (2016). The transmission of Federal Reserve tapering news to emerging financial markets. International Journal of Central Banking, 12(2), 317–356.
- 3. Berge, T., & Cao, G. (2014). Global effects of U.S: monetary policy: Is unconventional policy different? Economic Review, (QI), 5–31.
- 4. Bluwstein, K., & Canova, F. (2016). Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures. International Journal of Central Banking, 12(3), 69–120.
- 5. Boeckx, J., Dossche, M., & Peersman, G. (2017). Effectiveness and Transmission of the ECB´s Balance Sheet Policies. International Journal of Central Banking, 13(1), 297–333.
- 6. Boermans, M., & Keshkov V. (2018). The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration, DeNetherlandscheBank Eurosysteem, DNB Working Paper No. 590/April 2018.
- 7. Borzykh, O. (2016). Bank lending channel in Russia: A TVP-FAVAR approach. Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), 43, 96–117. Available (in English): https://cepr.org/sites/default/files/40006_BORZYKH%20-%20Bank%20Lending%20Channel%20in%20Russia.pdf.
- 8. Bowman, D., Londono, J.M., & Sapriza, H. (2015). U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies. Journal of International Money and Finance, 55(C), 27–59.
- 9. Central Bank of the Russian Federation. (2013). The history of the Bank of Russia´s exchange rate policy, In Market volatility and foreign exchange intervention in EMEs: what has changed? BIS Papers No. 73, Bank for International Settlements, 293–299. Basel: Bank for International Settlements.
- 10. Central Bank of the Russian Federation. (2014). Monetary policy in Russia: Recent challenges and changes, In The transmission of unconventional monetary policy to the emerging markets, BIS Papers No. 78, Bank for International Settlements, 299–305. Basel: Bank for International Settlements.
- 11. Central Bank of the Russian Federation. (2019). Monthly Average Actual Rates on Moscow banks’ credits (MIACR, MIACR-IG, MIACR-B). Retrieved from https://www.cbr.ru/eng/hd_base/mkr/mkr_monthes/.
- 12. Chen, P., & Semler, W. (2018). Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model. Journal of Economic Dynamics & Control, 91(C), 318–348.
- 13. Chen, Q., Filardo, A., He, D., & Zhu, F. (2016). Financial crisis, US unconventional monetary policy and international spillovers. Journal of International Money and Finance, 67(C), 62–81.
- 14. Chen, Q., Lombardi, M., Ross, A., & Zhu, F. (2017). Global Impact of US and Euro Area Unconventional Monetary Policies: A Comparison, Bank for International Settlements – BIS, Working Papers No. 610.
- 15. Chow, G., & Lin, A.L. (1971). Best linear unbiased distribution and extrapolation of economic time series by related series. Review of Economics and Statistics, 53(4), 372–375.
- 16. Christiano, L.J., Eichenbaum, M., & Evans, C.L. (1996). The effects of monetary policy shocks: Evidence from the flow of funds. Review of Economics and Statistics, 78(1), 16–34.
- 17. Christiano, L.J., Eichenbaum, M., & Evans, C.L. (1999). Monetary Policy Shocks: What Have We Learned and to What End? In Handbook of Macroeconomics. Vol. 1A, ed. J. B. Taylor & M. Woodford, 65–148. Amsterdam: Elsevier Science.
- 18. Cushman, D. O., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. Journal of Monetary Economics, 39(3), 433–448.
- 19. Dajcman, S., & Tica, J. (2017). The Broad Credit and Bank Capital Channels of Monetary Policy Transmission in the Core and Peripheral Euro Area. Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, 35(2), 249–275.
- 20. Dajčman, S., Kavkler A., Mikek P., & Romih, D. (2020). Transmission of financial stress shocks between the USA and the euro area during different business cycle phases. E+M: Ekonomie a Management, 23(4): 152–165.
- 21. Dovern J., & van Roye, B. (2014). International transmission and business-cycle effects of financial stress. Journal of Financial Stability, 13(C), 1–17.
- 22. Eickmeier, S., & Ng, T. (2015). How Do US Credit Supply Shocks Propagate Internationally? A GVAR Approach. European Economic Review, 74(C), 128–145.
- 23. European Central Bank – ECB. (2019a). Euro area (changing composition) - HICP - Overall index, Monthly Index, European Central Bank, Working day and seasonally adjusted. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=122.ICP.M.U2.Y.000000.3.INX&periodSortOrder=ASC.
- 24. European Central Bank – ECB. (2019b). CISS: Composite Indicator of Systemic Stress. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=290.CISS.D.U2.Z0Z.4F.EC.SS_CI.IDX&start=&end=&submitOptions.x=0&submitOptions.y=0&trans=N&periodSortOrder=ASC.
- 25. European Central Bank – ECB. (2019c). Total assets/liabilities - Eurosystem. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=123.ILM.W.U2.C.T000000.Z5.Z01&start=&end=&submitOptions.x=0&submitOptions.y=0&trans=MF&periodSortOrder=ASC.
- 26. European Central Bank – ECB. (2019d). Russian ruble/Euro. Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=120.EXR.M.RUB.EUR.SP00.A&periodSortOrder=ASC.
- 27. European Central Bank – ECB (2019e). ECB reference exchange rate, US dollar/Euro, 2:15 pm (C.E.T.). Retrieved from https://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=120.EXR.D.USD.EUR.SP00.A&start=&end=&submitOptions.x=0&submitOptions.y=0&trans=MF&periodSortOrder=ASC.
- 28. Eurostat. (2019a). Euro area 19 trade by SITC product group since 1999. Retrieved from https://appsso.eurostat.ec.europa.eu/nui/show.do?dataset=ext_st_ea19sitc&lang=en.
- 29. Eurostat. (2019b). GDP and main components (output, expenditure and income) [namq_10_gdp]. Retrieved from https://appsso.eurostat.ec.europa.eu/nui/show.do?dataset=namq_10_gdp&lang=en.
- 30. Evgenidis, A., Philippas, D., & Siriopoulos, C. (2019). Heterogenous effects in the international transmission of the US monetary policy: a factor-augmented VAR perspective. Empirical Economics, 56(5), 1549–1579.
- 31. Evgenidis, A., & Tsagkanos, A. (2017). Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach. International Review of Financial Analysis, 51(C), 69–81.
- 32. Falagiarda, M., McQuade, P., & Tirpák, M. (2015). Spillovers from the ECB´s monetary policies on non-euro area EU countries: evidence from an event study analysis, European Central Bank, Working Paper Series No. 1869.
- 33. Fiedler, S., Jannsen, N., Wolters, M., Hanisch, I., & Hallett Hughes, A. (2016). Transmission channels of unconventional monetary policy in the euro area: where do we stand? Monetary Dialogue, November 2016. In-depth Analysis. Directorate General for Internal Policies, Policy Department A: Economic and Scientific Policy. Brussels: European Union. Available at: https://www.europarl.europa.eu/cmsdata/116964/COMPILATION_Nov%202016_TOPIC_3_FINAL_online.pdf.
- 34. Gilchrist, S., & Zakrajsek, E. (2012). Credit spreads and business cycle fluctuations. The American Economic Review, 102(4), 1692–1720.
- 35. Grundowska, S. (2016). JDemetra+ Reference Manual Version 2.1. Warszawa: Narodowy Bank Polski, Department of Statistics. Available at https://ec.europa.eu/eurostat/cros/system/files/jdemetra_reference_manual_version_2.1_0.pdf.
- 36. Gurvich, E., & Prilepskiy, I. (2015). The impact of financial sanctions on the Russian Economy. Russian Journal of Economics, 1(4): 359–385.
- 37. Hakkio, C.S., & Keeton, W.R. (2009). Financial stress: what is it, how can it be measured, and why does it matter? Economic Policy, 94(2), 5–50.
- 38. Hollo, D., Kremer, M., & Lo Duca, M. (2012). Ciss – A Composite Indicator of Systemic Stress in the Financial System, European Central Bank, Working Paper Series no. 1426.
- 39. Hubrich, K., & Tetlow, R.J. (2015). Financial stress and economic dynamics: the transmission of crises. Journal of Monetary Economics, 70(C), 100–115.
- 40. Ioannidis, C. & Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of Policy Modeling, 30(1), 33–53.
- 41. IMF – International Monetary Fund. (2014). 2014 Spillover Report. Washington: International Monetary Fund. Available: https://www.imf.org/en/Publications/Policy-Papers/Issues/2016/12/31/2014-Spillover-Report-PP4881.
- 42. IMF – International Monetary Fund. (2019). IMF primary commodity prices. Retrieved from https://www.imf.org/en/Research/commodity-prices.
- 43. Inoue, A., & Rossi, B. (2018). The effects of conventional and unconventional monetary policy on exchange rates, Universtitat Pompeu Fabra Barcelona, Department of Economics, Economics Working Paper No. 1639.
- 44. Kim, S. (2001a). International transmission of U.S. monetary policy shocks: Evidence from VAR´s. Journal of Monetary Economics, 48(2), 339–372.
- 45. Kim, S. (2001b). Effects of monetary policy shocks on the trade balance in small open European countries. Economics Letters, 71(2), 197–203.
- 46. Koray F., & McMillin, W.D. (1999). Monetary shocks, the exchange rate, and the trade balance. Journal of International Money and Finance, 18(6), 925–940.
- 47. Kremer, M. (2016). Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area. International Economics and Economic Policy, 13(1), 105–138.
- 48. Kruglova A., Styrin, K., & Ushakova, Y. (2018). Transmission of foreign monetary shocks to a small open economy under structural instability: the case of Russia, Bank of Russia, Working Paper Series No. 38.
- 49. Luetkepohl, H. (2011). Vector Autoregressive Models. EUI Working Papers ECO 2011/30 Department of Economics. Badia Fiesolana: European University Institute.
- 50. MacDonald, M., & Popiel, K.M. (2017). Unconventional Monetary Policy in a Small Open Economy, International Monetary Fund – IMF, Working Paper WP/17/268.
- 51. Maćkowiak, B. (2007). External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets. Journal of Monetary Economics, 54(8), 2512–2520.
- 52. Mohanty, M. S. (2014). The transmission of unconventional monetary policy to the emerging markets – An overview, In The transmission of unconventional monetary policy to the emerging markets, BIS Papers No. 78, Bank for International Settlements, 1–24. Basel: Bank for International Settlements.
- 53. Neri, S., & Siviero, S. (2019). The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks, Banca d´Italia, Questioni di Economia e Finanza, Occasional Papers No. 486).
- 54. OECD. (2019a). Main Economic Indicators Publication. Retrieved from https://stats.oecd.org/Index.aspx?DataSetCode=MEI#.
- 55. OECD. (2019b). Leading Indicators OECD: Reference Series: Gross Domestic Product: Original Series for the Russian Federation [LORSGPORRUQ661S]. Retrieved from FRED, Federal Reserve Bank of St. Louis https://fred.stlouisfed.org/series/LORSGPORRUQ661S.
- 56. Ono, S. (2018). Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets. International Journal of Economics and Finance, 10(2), 14–19.
- 57. Quilis, M.E. (2019). Temporal disaggregation. Matlab code. MATLAB Central File Exchange. Retrieved from https://www.mathworks.com/matlabcentral/fileexchange/69800-temporal-disaggregation.
- 58. Pazardjiev, M.N., & Vasilev, A.Z. (2021). Specificities of the monetary transmission mechanism within the Bulgarian currency board framework: the first five years. Journal of Central Banking Theory and Practice, 10(2), 57–86.
- 59. Ranaldo, A., & Söderlind, P. (2010). Safe haven currencies. Review of Finance, 14(3), 385–407.
- 60. Reserve Bank of Australia. (2019). International Official Interest Rates – F13. Retrieved from https://www.rba.gov.au/statistics/tables/.
- 61. Rey, H. (2016). International Channels of Transmission of Monetary Policy and the Mundellian Trilemma. IMF Economic Review, 64(1), 6–35.
- 62. Shobande, O.A., & Shodipe O.T. (2021). Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence. Journal of Central Banking Theory and Practice, 10(1), 203–226.
- 63. Takáts, E., & Vela A. (2014). International monetary policy transmission, In The transmission of unconventional monetary policy to the emerging markets, BIS Papers No. 78, Bank for International Settlements, 25–44. Basel: Bank for International Settlements.
- 64. Tillmann, P. (2014). Unconventional monetary policy shocks and the response of emerging markets, Hong Kong Institute for Monetary Research, Working Paper No. 17/2014.
- 65. Varghese, R., & Zhang, Y. S. (2018). A new wave of ECB´s unconventional monetary policies: Domestic impact and spillovers, International Monetary Fund – IMF, Working Paper WP/18/11.
- 66. Vespignani, J.L. (2015). International transmission of monetary shocks to the Euro area: Evidence from the U.S., Japan and China. Economic Modelling, 44(C), 131–141.
- 67. Wu J.C., & Xia, F.D. (2016). Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. Journal of Money, Credit, and Banking, 48(2–3), 253–291.