Is ECB Rocking the Boat? Unconventional Monetary Policy in the EMU and Volatility Spillovers to Poland

The aim of the paper is to investigate volatility spillovers (i.e., spillovers in-variance) between the monetary policy stance of the European Central Bank and macro-financial variables in Poland. The monetary policy of the ECB is approximated by the shadow interest rate which takes into account various non-standard policy measures. We then perform event study regressions using several leading policy announcements and actions of the ECB. We find that volatility spillovers from the ECB's unconventional policies to Poland were time-varying but modest for the entire period of 2008-2018. There is relatively scarce evidence on the structural changes in the dynamic conditional correlations for the POLONIA rate and EUR/PLN exchange rate. More pronounced volatility spillover effects are identified for the long-term interest rates after the first substantial reduction of interest rates in the EMU in 2008, and following the introduction of the negative interest rate policy in 2014. We find no significant evidence of spillovers associated directly with the implementation of more advanced unconventional tools, such as long-term refinancing operations or the Asset Purchase Programme.