Jérôme Creel
email: jerome.creel@sciencespo.fr

Paul Hubert
email: paul.hubert@sciencespo.fr

Mathilde Viennot
email: mathilde.viennot@ens.fr.

Antonio Afonso

Christophe Blot

Nick Butt

Rohan Churm

Fabien Labondance

Grégory Levieuge

Patrizio Tirelli

The Effect of ECB Monetary Policies on Interest Rates and Volumes *

Keywords: Transmission Channels, Unconventional Monetary Policy, Quantitative Easing, Pass-through, Bank Lending. JEL codes: E51, E52, E58

This paper assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes or bond issuance for three types of different economic agents through five different markets: sovereign bonds at 6-month, 5year and 10-year horizons, loans to non-financial corporations, and housing loans to households, during the financial crisis, and for the four largest economies of the Euro Area. We look at three different unconventional tools: excess liquidity, longer-term refinancing operations and securities held for monetary policy purposes following the decomposition of the ECB's Weekly Financial Statements. We first identify series of ECB policy shocks at the Euro Area aggregate level by removing the systematic component of each series and controlling for announcement effects. We second include these exogenous shocks in countryspecific structural VAR, in which we control for the credit demand side. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates.

Introduction

This paper aims at establishing the effect of a fine decomposition of conventional and unconventional ECB monetary policies on both interest rates and volumes in the four largest economies of the Eurozone during the global financial crisis. This issue is topical since Mario Draghi, chairman of the ECB, justified the implementation of some of the unconventional policy tool -the Outright Monetary Transactions -by the disruption of the ECB monetary policy transmission to the real economy in some Eurozone countries. The question also matters theoretically. Unconventional monetary policies should be neutral (apart from signalling effects) except if there is some market segmentation over the following two dimensions: along the term structure (short and long term maturities are not perfect substitute as there are duration preferences) or between countries (there is a home bias in debt holding or risk aversion to some country specific loans or debts). This is the irrelevance result of Eggertsson and Woodford (2003) in perfect financial markets. However, there has been strong empirical evidence against this neutrality in the most recent literature.

One of the pioneering studies about the monetary transmission mechanism is [START_REF] Bernanke | The Federal Funds Rate and the Channels of Monetary Transmission[END_REF] showing that the pass-through from the policy rate to lending and deposit interest rates is expected to be positive, whereas the pass-through to lending and deposits volumes is expected to be negative. Before the recent financial crisis, many studies have focused on the monetary transmission mechanism in the Eurozone. Donnay and [START_REF] Degryse | Bank Lending Rate Pass-Through and Differences in Transmission of a Single EMU Monetary Policy[END_REF] with a SVAR, De Bondt (2005) with a vector error-correction model, [START_REF] Sorensen | Bank interest rate pass-through in the Euro area: a crosscountry comparison[END_REF] with a cross-country analysis, Sander and [START_REF] Kleimeier | Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets[END_REF] differentiating expected and unexpected monetary policy impulses, assess the pass-through from the policy rate to money market rates or bank interest rates. The literature on the bank lending channel is less numerous than the one on the interest rate channel; [START_REF] Chatelain | Monetary Policy Transmission in the Euro area: New Evidence from Micro Data on Firms and Banks[END_REF] and De [START_REF] De Santis | Bank Lending and Monetary Transmission in the Euro Area[END_REF] show that bank characteristics play a role in the effect of monetary policy on bank lending.

Many articles have studied the effect of conventional monetary policy in the Eurozone during the worldwide financial crisis. [START_REF] Andries | La crise financière a-t-elle affecté la transmission de la politique monétaire sur les prêts aux sociétés non financières dans les pays de la zone euro ?[END_REF], [START_REF] Blot | Business lending rate pass-through in the Eurozone: monetary policy transmission before and after the financial crash[END_REF], [START_REF] Belke | Interest Rate Pass-Through in the EMU: New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data[END_REF], [START_REF] Aristei | Interest Rate Pass-Through in the Euro Area during the Financial Crisis: a Multivariate Regime-Switching Approach[END_REF], [START_REF] Gigineishvili | Determinants of Interest Rate Pass-Through: Do Macroeconomic Conditions and Financial Market Structure Matter?[END_REF], [START_REF] Panagopoulos | Monetary and banking policy transmission through interest rates: an empirical application to the USA, Canada, the UK and the Eurozone[END_REF], [START_REF] Karagiannis | Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis[END_REF]Vlamis (2010), von Borstel, Eickmeier and[START_REF] Von Borstel | The interest rate pass-through in the euro area during the sovereign debt crisis[END_REF] focus on the interest rate channel. However, during the financial crisis, implementing monetary policy became much more complex as the transmission mechanism has been severely impaired by disruptions in the financial markets; as a consequence, the ECB resorted to unconventional measures to provide additional stimulus to the economy. A large literature assesses the effectiveness of such measures 1 . [START_REF] Cordemans | Central bank rates, market rates and retail bank rates in the euro area in the context of the recent crisis[END_REF], [START_REF] Abbassi | The effectiveness of monetary policy in steering money market rates during the recent financial crisis[END_REF], [START_REF] Lenza | Monetary policy in exceptional times[END_REF], [START_REF] Altavilla | The Financial and Macroeconomic Effects of the OMT Announcements[END_REF], [START_REF] Ghysels | A high frequency assessment of the ECB Securities Markets Programme[END_REF] and [START_REF] Szczerbowicz | The ECB unconventional monetary policies: have they lowered market borrowing costs for banks and governments?[END_REF] focus on the effect of unconventional tools on interest rates. [START_REF] Gambacorta | The bank lending channel: Lessons from the crisis[END_REF], [START_REF] Giannone | The ECB and the Interbank Market[END_REF], [START_REF] Darracq-Paries | A Non-Standard Monetary Policy Shock: the ECB's 3-year LTROs and the shift in credit supply[END_REF], Boeckx, Dossche and Peersman (2014) and [START_REF] Andrade | Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem's LTROs[END_REF] analyse more specifically the bank lending channel. Bonnacorsi di Pati and Sette (2012) study the transmission of monetary shocks affecting Italian banks' balance sheets to the volume and cost of credit to non-financial corporations.

The literature is much segmented so far: analyses focus either on conventional or unconventional measures, either on interest rates or volumes, and either on the money market, sovereign bonds or loans to NFC. Two types of estimation strategies have been mostly used: event-studies looking at the response to policy announcements, so their implicit focus is on the signalling and confidence channel specifically and the high-frequency response to these announcements, or VAR analyses with the amounts of liquidities provided or securities bought by the monetary authority, so the implicit focus is on the other channels and the lower-frequency response to those policies. This paper contributes to this literature in three ways. First, we assess at the same time the pass-through to interest rates and volumes so as to capture both dimensions of each market. Second, we investigate at the same time the effects of both conventional and unconventional monetary policies, the latter being decomposed at a fine level. Third, the analysis is performed, over the financial crisis sample, for the four largest economies of the Eurozone: Germany, France, Italy and Spain, and at a disaggregated level encompassing sovereign bonds at 6-month, 5-year and 10-year horizons, loans to non-financial corporations, and housing loans to households.

We proceed in two steps. We first identify series of ECB policy shocks, the main refinancing operation interest rate for conventional policy and the amounts spent for each unconventional policy as stated in the ECB's Weekly Financial Statements, at the euro area aggregated level. We do so by removing the systematic component of each series and therefore stripping out their unpredictable component. Using amounts spent rather than announcements suggests that these policies could have been anticipated by market participants. However, we show that this is not the case and that our series of shocks are not predictable. We focus on amounts spent as we are interested in the real effects of unconventional policies, not the high-frequency effects of announcements. To identify unconventional monetary shocks exogenous to anticipation effects, we control for the effects of policy announcements. In doing so, we focus on the transmission channels other than the signalling and confidence channels, and we therefore provide a lower bound estimate of the effects of these policies. Second, we include these 4 estimated series of interest rate and unconventional policy shocks in country-specific structural VARs with 5 additional endogenous variables, namely industrial production, inflation, a proxy variable to control for the credit demand (or bond issuance), interest rates and volumes for each of the five markets considered, as well as oil prices, a composite indicator of systemic stress (CISS) and the Euro Stoxx 50 index as exogenous variables.

The main result is that only the pass-through from the ECB rate to interest rates has been effective, consistently with the existing literature, while the transmission mechanism of the ECB rate to volumes has been weak. Unconventional policies have had uneven effects. It gives support to the break-up of unconventional policies between excess liquidity, LTRO and SHMPP. Excess liquidity has an effect on interest rates in Germany and Spain, and on volumes in France and Spain. In comparison, the impacts of LTRO measures are weaker and concentrated exclusively on interest rates. In contrast, SHMPP measures which were targeted towards peripheral countries have been effective at modifying interest rates in these countries and, to a lower extent, volumes.

One argument to explain the differentiated pass-through of ECB monetary policies lies on the complementarity of these ECB policies. As stated by Mario Draghi, the objective of unconventional policies may have been to restore the transmission mechanism of the conventional policy. So as to shed light on this issue, we look at the effect of conventional policy shocks on unconventional policy tools and vice-versa. A shock to the conventional tool of monetary policy has no effect on any unconventional policies. Regarding the effect of shocks to unconventional tools on the ECB interest rates, there are only a few instances where the former complements the latter, with excess liquidity and SMHPP policies.

Another argument is that the successful pass-through from the ECB rate to interest rates, which materialized as a decrease in interest rates during the sample period, had a negative effect on the supply side of loans, and offset itself its positive effects on lending volumes. The interest rate channel may be a substitute to the bank lending channel on the supply side when net interest margins deteriorate, and ever more so for larger banks which retain market power. [START_REF] Landier | Banks' Exposure to Interest Rate Risk and The Transmission of Monetary Policy[END_REF] show that a 100 basis point decrease in the Fed funds rate leads a US bank at the 75th percentile of the income gap distribution to decrease lending by about 1.6 percentage point annually relative to a bank at the 25th percentile.

In a context where commercial banks attempt to increase their capital ratios while governments try to reduce their debts, a policy implication of this result would be for central banks to target more directly non-financial corporations or households when implementing unconventional monetary policy or to constrain more effectively bank lending to ensure an operative pass-through towards the real economy.

The rest of the paper is organized as follows. Section 2 presents the theoretical framework, section 3 data, section 4 the identification of policy shocks and section 5 the empirical strategy and results. Section 6 concludes.

Framework

This paper is at the crossroads of two evolutions in monetary policy: the first, theoretical, relates to the introduction of financial frictions; and, the second relates to central bank practices and their unconventional measures. These evolutions raise the issue of the transmission channels of monetary policy. Under the classical view of the transmission channel, interest rates impact economic activity by affecting relative prices in the economy (relative prices of capital, of future consumption in terms of current consumption and of domestic goods in terms of foreign goods); this constitutes the interest rate channel and encompasses most mechanisms that are not associated with financial frictions. The interest rate channel is economically significant because of the link between changes in short nominal rates and long real interest rates. 2To the extent that consumer and investment spending, and in the first place, durable/capital goods expenditure depend on long rather than short rates, the expectations theory of the term structure holds, so that short rate movements are transmitted to long rates. Nevertheless, many features of the configuration of interest rates during the financial crisis are puzzling from the perspective of the expectations hypothesis.3 Furthermore, term premia have affected the extent to which changes in short rates are translated into further changes along the yield curve by responding systematically to offset movements in short rates, which is expected to weaken the effect of policy changes. Interest rate channels, due to market segmentation, may well differ in size from one market to another. As regards the conventional instrument of monetary policy, we thus expect a larger transmission mechanism on short-horizon markets than at a longer horizon.

The introduction of imperfect information in monetary policy theory has given rise to a credit view which has stressed a distinct role to financial assets and liabilities. For instance, the bank lending channel explains the effects of monetary policy with movements in the supply of bank credit. The essential feature is that the central bank can affect credit supply by financial intermediaries by altering base money, which affects the banks' balance sheet. The monetary policy transmission through this channel may be incomplete thanks to limited liability, credit rationing, or the imperfect substitutability between retail deposits and wholesale deposits or debt on the liability side of banks' balance sheets. [START_REF] Bernanke | Credit, Money and Aggregate Demand[END_REF] assume fixed costs of direct financial market participation and banks' incomplete/imperfect information in the market for equity and corporate debt. They show that such structures amplify the effects of monetary policy shocks. However, this amplification will depend on the size of the lending contraction for a given shock: the more interest inelastic is the demand for money, the lower will be this contraction. Consequently, the bank lending channel not only emerges on the equilibrium price of the market -the interest rate set on this market -but also on the volumes, provided one control for the demand for bank credit.

The implementation of unconventional monetary policies hinges on new channels (see [START_REF] Joyce | The financial market impact of quantitative easing[END_REF], for a survey): portfolio balance, policy signaling, and default channels. These policies can also help improve the bank lending channel and a complementarity may emerge between conventional and unconventional policies.

After a change in the volume or structure of central bank balance sheet, transmission channels of unconventional policies will be operating provided financial frictions are included. Without financial frictions, the composition of central bank assets is irrelevant in the same sense as in the Modigliani-Miller theorem on the structure of corporate liabilities (Wallace, 1981). Curdia andWoodford (2011) andGertler andKaradi (2011) propose extensions of DSGE models to quantitative easing measures taken by a central bank under disruptive financial markets or intermediaries. They show that credit policy can improve welfare provided financial disruption is sufficiently high (Curdia and Woodford) or provided an agency problem is introduced between financial intermediaries and depositors (Gertler and Karadi).

Unconventional measures take different forms; consequently, they have different impacts on markets. The purchase of large amounts of debt instruments like QE is expected to impact directly on the sovereign debt market, or on a segment of it, e.g. the market related to the maturity involved in policy measures4 . We expect that QE policy will produce a reduction in the interest rate and/or an increase in the volume of the sovereign debt market or on the segment targeted by the central banker. We also expect some spillovers on other markets or other segments of the same market, via portfolio changes or confidence effects. Fixed-rate full-allotment operations which gave rise to excess liquidity are targeted towards the money market. Their impact is expected to be small and potentially negative on other markets: excess liquidity is mainly driven by the refinancing needs of banks, either because of low deposits inflows or because of unsecured short run liabilities (ECB Monthly Bulletin, January 2014). Long-term refinancing operations (LTRO) initially fuel excess liquidity. We do not expect a large impact on financial markets, on the volumes and, consequently, on interest rates. The announcement of Targeted LTRO by the ECB in June 2014, which aims explicitly at improving bank lending, gives weight to our expectation of a low impact of LTRO, although some impact of 2011 and 2012 LTRO on sovereign bonds markets could emerge. Although the multiplicity of unconventional measures requires a differentiated study of their respective effects, we will also investigate their aggregate effects. Table 1 summarizes the theoretical predictions of conventional and (undifferentiated) unconventional policies on credit volumes and interest rates.

Data

This paper focuses on the monetary transmission mechanism since the global financial crisis in four countries: France, Germany, Italy and Spain. Our dataset goes from June 2007 to October 2014 with a monthly frequency so comprises 89 observations. The monetary transmission mechanism is assessed for conventional and non-conventional tools and on five markets: sovereign debt at three maturities, loans to non-financial corporations (NFC), and housing loans to households.6

Conventional monetary policy is measured with the ECB rate for main refinancing operations, whose data over the period is available from the ECB database. We use the ECB's weekly financial statements (WFS)7 to obtain a fine decomposition of all unconventional policy measures. We have already discussed in section 2.1 about the differentiated objectives of unconventional measures; for this reason, we aim at analysing precisely their effects on interest rates and volumes. Focusing on one type of measure only would not give full credit to the set of measures that the ECB has implemented during the crisis. The simplest unconventional tool is excess liquidity (current accounts -reserve requirements + deposit facility -marginal lending facility, or in WFS terms: item 2.1 -res. req. + item 2.2 -item 5.5).

The second set of unconventional tools is Longer-term Refinancing Operations (in WFS terms: item 5.2). The most unconventional instrument is the amount of securities held for monetary purposes, including the Securities Market Program, the 1 st , 2 nd and 3 rd Covered Bond Purchase Programs, and the most recent Asset-Backed Securities Purchase Program (in WFS terms: item 7.1). These data series are taken from the ECB Statistical Data Warehouse, and are expressed in percentage of Euro area (changing composition) GDP. Figure 1 plots the 4 variables. It highlights the differences in the timing and size of measures which require an individual treatment.

For each country (France, Germany, Italy and Spain), the endogenous variables needed for estimating the monetary transmission mechanism include the specific interest rates and their corresponding volumes.

The monetary transmission mechanism is first assessed in the sovereign debt market. Data availability in auctions results has limited the number of countries to only four. Data for new issuances were found on national debt agencies' websites (Agence France Trésor, Banco de España, Banca d'Italia, Deutsche Finanzagentur). After compiling all auctions, we have chosen allotments and corresponding yields for bonds with 6-month, 5-year and 10-year maturity. Indeed, these maturities seem to be the most representative of monthly auction amounts8 . For each country, bonds from 165-day to 210-day maturity are chosen as a proxy for 6-month maturity bonds, bonds from 54-month to 72-month maturity for 5-year maturity bonds and bonds from 114-month to 132-month maturity for 10-year maturity bonds; thus, we escape the problem of disregarding close-to-reference maturity issuances (5 months and 27 days instead of 6 months for example). The allotments are expressed in percentage of euro area GDP.

For the market of loans to NFC, we take the 'new business' volumes and their corresponding annual interest rates, with 'new business' volumes expressed as a percentage of Euro area GDP. These data were available over the period on national central bank's databases (Banque de France, Banca d'Italia, Bundesbank) or Datastream for Spain.

The lending market to households is usually decomposed between housing loans and cash loans. In each country, cash loans represent a relatively small portion of all loans to households and they are traded at a legal interest rate ceiling which has substantially less variance than interest rates on housing loans9 . For both reasons, we decided to focus on housing loans whose interest rates vary with policy rates. For each country, we take the 'new business' volume of housing loans and their corresponding annual interest rates. New business volumes are expressed as a percentage of Euro area GDP. These data were available over the period on national central bank's databases (Banque de France, Banca d'Italia) or Datastream for Spain and Germany.

So far, we depicted monetary channels of transmission on the five markets as if their respective volumes were expressed in gross terms or as if they were only supply-driven. Empirical outcomes will be partial, unless we correct the supply of bonds and credit for exogenous determinants or demand-driven factors. New public debt gross issuance does not only respond to a new policy environment (policy rate, GDP change, etc.) but it also stems from former commitments, like debt redemption. Thus, we use debt redemption as a proxy of the lower bound of refinancing needs of government, to net out new issuances of gross debt. Consequently, the estimated monetary channels on sovereign markets are based on a proxy of new issuances of net debt. As regards credit to NFC and households, we use BLS surveys to net out credit supply of some drivers of credit demand. Here again, the estimated monetary channels are based on proxies of a net supply of credit.

A set of macroeconomic variables is used for the two stages of the analysis, first the identification of common monetary policy shocks and, second, the estimation of countryspecific and market-specific monetary channels of transmission.

Identifying ECB policy shocks

Before estimating country-specific and market-specific structural VARs, we identify for each instrument at the euro area aggregated level ECB policy shocks orthogonal to a wide array of macroeconomic variables. We aim at removing the systematic component underlying the evolution of the four policy instruments so as to retain their unpredictable part. The rationale for this identification is twofold. First, it aims at avoiding endogeneity and, second, it is consistent with the ECB deciding and executing its policies at the aggregate Euro area level.

Our identification of shocks focuses on the actual implementation of monetary policies, although one may argue that the shock happens at the time of the announcement and that most of its effect is therefore realised on the announcement of the policy. However, focusing on announcements with event-studies10 only measures the signalling and confidence channels on very short time windows. These effects might be offset over the following days.

In addition, it does not tell what the actual effects of the policy are, and it only informs about the credibility of the monetary authority. Ultimately, if the effect comes directly on the announcement, this goes against our hypothesis and our identification captures the lower bound of the effect of monetary policies. The fact that our shocks may be anticipated because of the announcements creates another issue. To cope with it, we first control for the systematic responses of monetary policies to announcements and second we assess that our series of shocks are not predictable.

Assuming that the systematic dynamics of Y t = {ECB rate, EL, LTRO, SHMPP} is driven by policymakers' responses to data in their information set Ω t , where f(•) is a function capturing their systematic reaction, and that the term reflects unexpected shocks to the four variables, the model extracting the exogenous shocks can be represented as:

Y t = f(Ω t ) + (1)
This equation can be viewed as the reaction function of central bankers, so that in its simplest Taylor-rule form, the information set would only comprise inflation and output, proxied by industrial production. We augment the set of variables that policymakers are likely to focus on with oil prices, the unemployment rate, the CISS, the Euro Stoxx 50, the 10-year euro area average sovereign bond interest rate, private credit growth, and the euro/dollar exchange rate. For each of the 4 policy instruments, we also augment the information set with the remaining 3 policy instruments, making each of the 4 shocks orthogonal to the other policy instruments. 11 The estimated equation for the ECB rate is given in equation (2) whereas the equations for EL, LTRO and SHMPP are of a similar form except that they are augmented with dummies for unconventional policy announcements:

∑ , ∑ , ∑ , (2)
where X t includes inflation and output, M t the additional macro variables listed above, and P t the 3 remaining policy instruments. In contrast with conventional policy actions which are not announced in advance, unconventional policies are first announced and then implemented in the following months. We introduce dummies to control for the effects of unconventional policy announcements and so identify unconventional monetary shocks exogenous to anticipation effects. The estimation sample period starts in March 2006 to obtain residuals on the sample period studied: June 2007 -October 2014. Table B in the appendix reports the output of the estimation of equation ( 2) for the four policy instruments.

The contribution of the systematic response to the variables in vectors X, M and P explains 99.7, 98.9, 98.2 and 99.8% of the variance of the ECB rate, excess liquidity, LTROs and SHMPP respectively. The unexplained components, the residuals (plotted in Figure 2), are considered as the aggregate policy shocks implemented by the ECB. We introduce them in the country-specific structural VARs, which in turn enable us to derive ECB policy shocks that are also exogenous to country-specific and market-specific macroeconomic developments.

Properties of our series of shocks makes the identification approach relevant: residuals are not auto correlated (Table C displays outcomes of the Cumby-Huizinga test), they are unpredictable from macro data over the last 3 or 6 months (Table D shows p-values of a Ftest), they have a zero mean and are not correlated together except excess liquidity and LTRO shocks (Table E provides descriptive statistics and correlations of the estimated shock series)12 .

The Effects of Conventional and Unconventional Monetary Policies

A Structural VAR Model

A structural VAR model is used to decompose the aggregate ECB policy shocks into countryspecific and market-specific mutually orthogonal components with a structural economic interpretation. We augment a standard VAR for monetary policy analysis including industrial production (IP), inflation (CPI), and (shock to) the conventional policy instrument with the three other aggregate ECB policy shocks, a proxy for bond issuance/credit demand as discussed in section 3 (mc_d), new loans' interest rates (mc_r) and volumes (mc_v) for each market (m) and country (c). We also include as exogenous contemporaneous variables in the estimation oil prices, the CISS and domestic stock market indices in the vector F t . For each market, let Z t = [IP t , CPI t , mc_d t , mc_v t , mc_r t ,  t SHMPP ,  t LTRO ,  t EL ,  t ECBrate ]' represent the (9 x 1) vector that contains the endogenous variables at date t:

∑ (3)
where b ij in the B matrix are (k x 1) vectors, F is the vector comprising the three exogenous contemporaneous variables, C their associated parameters, and:

(4) and ( 5)

The reduced-form errors E t = [e t IP , e t CPI , e t mc_d , e t mc_v , e t mc_r , e t SHMPP , e t LTRO , e t EL , e t ECBrate ]' combine the structural innovation to a given variable with the contemporaneous responses to the other variables. The recursive identification assumption postulates that the structural errors are independent, and that reduced-form errors are related to structural errors through a lower triangular D matrix. This means that the covariance between the reduced-form errors is attributed to the structural error of the variable ordered previously in Z t , and that the structural error is uncorrelated to the reduced-form errors of the preceding variables. This recursive identification therefore depends on the ordering of the variables in the Z t vector.

In our benchmark VAR, we assume that shifts in industrial production and inflation produce a contemporaneous change in policy variables and in market prices and volumes. The latter two also react contemporaneously to policy variables, while by construction policy variables react to innovations to market prices and volumes only with a lag. This is consistent with the institutional framework and decision-making constraints which, at a monthly frequency, introduce delays in the monetary reaction to changes on financial and loans markets.

Concerning the relative position of the policy variables, we assume that the unconventional interventions react with a lag to the ECB interest rate consistently with the prevalence of the conventional instrument over unconventional ones.

The structural VAR analysis is performed with k = 3 lags, and with a small sample estimator because the number of observations is small. The variance-covariance matrix is estimated with a small-sample degrees-of-freedom adjustment: the small-sample divisor used is 1/(Tm) instead of the maximum likelihood divisor 1/T, where T is the sample size and m the average number of parameters in each of the equations. All the eigenvalues lie inside the unit circle, so our VAR model satisfies the stability condition to interpret impulse-response functions.

Figure 2 confronts ECB aggregate policy shocks, as discussed in section 4, with an alternative identification approach of country-and market-specific ECB policy shocks. The latter stem from the estimation of the model described in equation ( 3) where ̅ t = [IP t , CPI t , mc_d t , mc_v t , mc_r t , SHMPP t , LTRO t , EL t , ECBrate t ]' substitutes for vector Z t . The differences among the country-and market-specific ECB policy shocks are substantial; they show that this alternative identification approach is not suitable to an investigation into the countryand market-specific channels of transmission of a common monetary policy shock. Moreover, the differences between, on the one hand aggregate and, on the other hand, country-and market-specific policy shocks show that the former identification approach gives unique outcomes; it gives support to the choice of identifying aggregate policy shocks as in section 4.

Impulse Response Functions

Figure 3 plots the impulse responses of interest rates to a one-S.D. innovation (a 0.08 percentage point increase) in the ECB interest rate, for Germany, France, Italy and Spain (rows) and for sovereign bonds at 6-month, 5-year and 10-year horizons, loans to NFC, and housing loans to households (columns). The pass-through from the ECB interest rate to market rates is significant and positive as expected for all countries on the markets for loans to NFC and loans to households, though it is a bit less significant on the latter than on the former type of market. The impacts on the NFC markets last 6 months in Germany, France and Italy and a bit longer in Spain. The length of impact is also close to 6 months on the market for housing loans, except in France where it last beyond 12 months. In contrast with the former markets, the pass-through on sovereign-debt markets is less significant and an opposition between Northern and Southern countries of the Euro area emerges: there is no pass-through in Germany and France, whereas it is positive and significant in Italy, at the 3 different maturities, and in Spain, temporarily at the 6-month maturity. Figure 4 plots the impulse responses of volumes to a one-S.D. innovation in the ECB interest rate. We would expect volumes to be negatively correlated to an increase in the ECB interest rate but we obtain mixed results. First, there is very scarce and temporary evidence of a pass-through. Debt at 10-year horizon in Germany, debt at 6-month horizon in Italy and NFC and housing loans in Spain show short-lived evidence. Second, the pass-through is very low, except for NFC loans in Spain where the elasticity is close to 2. Third, there are also unexpected positive impacts, in Italy and France.

Figure 5 presents the impulse responses of interest rates to a one-S.D. innovation (a 0.16 percentage point increase in terms of Euro Area GDP) in excess liquidity. There is evidence of a pass-through from unconventional policies to interest rates over our sample in Germany on the market for housing loans and in Spain on the market for NFC loans. Both last more than 6 months. In Italy, there is no such pass-through. In France, one can interpret the (statistically weak) positive response of interest rates on sovereign bonds at 10-year horizon as a portfolio balance effect. Excess liquidity would induce demand for high-yield bonds. Figure 6, which plots the impulse responses of volumes to a one-S.D. innovation in excess liquidity, shows that French public debt at 10-year horizon reacts positively and temporarily to the shock on EL. In Germany and Italy, there is no evidence of a pass-through from EL to volumes. In contrast, Spain shows evidence of a relatively strong pass-through for NFC loans, with a maximum elasticity above unity.

Among the four countries studied, Spain once again emerges as the most beneficial one of LTRO measures, but only in terms of market rates. Figure 7 presents the impulse responses of interest rates to a one-S.D. innovation (a 0.32 percentage point increase in terms of Euro Area GDP) in LTROs. The impact on the market for NFC loans in Spain is significant, negative and lasting 6 months. The same impact is weaker in Germany, where evidence also points to temporary and significant rises in interest rates, on the 10-year bond market and on the market for housing loans. In France and Italy, there is no pass-through from LTRO on interest rates. Figure 8 plots the impulse responses of volumes to a one-S.D. innovation in LTROs, and does not show any evidence of a pass-through. LTRO measures thus have had only limited impact in the Euro area.

Figure 9 presents the impulse responses of interest rates to a one-S.D. innovation (a 0.04 percentage point increase in terms of Euro Area GDP) in SHMPP. The shock introduces a discrepancy in impact between, on the one hand, Germany and France, and on the other hand, Italy and Spain. In the former countries, we find a statistically weak but positive impact of SHMPP on interest rates, for sovereign bonds at 6-month horizon and NFC loans in Germany, and for sovereign bonds at 5 and 10-year horizon in France. In the latter countries, IRFs show evidence of statistically significant negative impacts on sovereign bond markets, at 6-month and 5-year horizon in Italy and 6-month and 10-year horizon in Spain. This discrepancy in impact can be interpreted as reflecting the discrepancy in context: peripheral countries, like Spain or Italy, have been hit by the sovereign debt crisis, with growing spreads vis-à-vis the German Bund, whereas core countries, like Germany and France, have to some extent benefited from the crisis via their role of safe havens, evidenced by a negative trend in their bond yields. Evidence about the impact of the same policy on volumes is weaker than the impact on interest rates. Figure 10 plots the impulse responses of volumes to a one-S.D. innovation in SHMPP. In Italy and Spain, there is some evidence of an increase in volumes on sovereign bond markets, but it is very short and weakly significant.

In both countries, weak evidence also points to a different reaction of the housing loans markets: loans increase in Italy and decrease in Spain. In Germany, SHMPP has a short negative impact on volumes on public debt at 6-month horizon whereas in France, the sovereign bond market at 5-year horizon reacts positively in the short run.

In summary, IRFs show that the conventional interest rate channel has been at work in the 4 countries, but conventional monetary policy has only had a weak effect on volumes. IRFs for unconventional policies show that they have had quite different effects. It gives support to the break-up of unconventional policies between excess liquidity, LTRO and SHMPP. Excess liquidity has had a pass-through on interest rates in Germany and Spain, and on volumes in France and Spain. In comparison, the impacts of LTRO measures have been weaker and concentrated exclusively on interest rates. In contrast, SHMPP measures which were targeted towards peripheral countries have been effective at modifying interest rates in these countries and, to a lower extent, volumes.

In the following, we discuss about the relevance of our identification approach and of main results. First, we discuss about the introduction of sign restrictions and, second, about restrictions on the linkages between conventional and unconventional policies. Third, we show results stemming from a unique monetary policy stance, mixing the conventional and the 3 unconventional measures.

Isolating the direct effect of policy variables on rates and volumes

The structural VAR model already introduces short-run restrictions, with the Cholesky decomposition in the D matrix of equation ( 3), but it does not introduce sign restrictions. Sign restrictions in VAR estimations of monetary policy channels of transmission have been common in the literature since [START_REF] Faust | The robustness of identified VAR conclusions about money[END_REF]. For instance, [START_REF] Uhlig | What are the effects of monetary policy on output? Results from an agnostic identification procedure[END_REF] argues that sign restrictions help reconsider the impact of monetary policy shocks on output. Although [START_REF] Faust | The robustness of identified VAR conclusions about money[END_REF] imposes sign restrictions on impact, [START_REF] Uhlig | What are the effects of monetary policy on output? Results from an agnostic identification procedure[END_REF] extends sign restrictions to several periods after the monetary shock and concludes that monetary shocks in the US have no clear-cut impact on output. The relevance of sign restrictions can be assessed by the estimates of the direct effect of policy variables on market rates and volumes from equation (3). They consist in the country-and market-specific estimated coefficients b 46 -b 49 (impacts of policy variables on volumes) and b 56 -b 59 (impacts of policy variables on interest rates) in the B matrix. By construction, interest rates and volumes cannot respond on impact (i.e. contemporaneously) to shocks to the policy variables since they are ordered before in the Z vector.

Results are reported in Table 2. They show that the sum of coefficients is in most cases not significantly different from zero. Consequently, the introduction of sign restrictions in the structural VAR discussed in this paper would not fit the data. The evaluation of the reliability of sign restrictions thus supports the choice of not introducing such restrictions.

Isolating the cross-effects of policy variables

The empirical literature has pointed out that unconventional monetary policy measures may impact directly on conventional policy (see, e.g. [START_REF] Krishnamurthy | The effects of quantitative easing on interest rates: channels and implications for policy[END_REF]. The introduction of some restrictions in the direct relationships between different types of monetary policy must be discussed. The reliability of such restrictions can be assessed via the country-and market-specific estimated coefficients b 69 -b 89 (impacts of ECB rate on unconventional policy variables) and b 96 -b 98 (impacts of unconventional policy variables on ECB rate) in the B matrix of equation ( 3).

Results reported in Table 3 show a very clear picture. A shock to the conventional tool of monetary policy has no statistically significant impact on unconventional policies, whatever the latter is, whatever the market and whatever the country. Regarding the direct effect of shocks to unconventional tools on the ECB interest rates, there are only a few instances where the former complements the latter, 2 related to excess liquidity, 5 related to SMHPP and none related to LTRO.

Squaring the preceding results with a unique policy stance variable

Although our results point to different outcomes across the different monetary policy instruments, a simpler model in which all instruments are summarised into a single one is worth investigating. If this model gives similar results overall -an effective interest rate channel and an impact of ECB monetary policy on some specific market's volumes -it will weaken the approach of this paper to deal with a detailed description of ECB monetary policies.

The new environment of monetary policy, with the growing importance of unconventional measures because of the zero-lower bond on the conventional instrument, has urged research on the assessment of the overall monetary stance and led to the computations of "shadow rates" as single measure of conventional and unconventional policies. Wu and Xia (forthcoming) have used their shadow rate to gauge the macroeconomic effects of US monetary policies during the crisis. We first identify shocks to their shadow rate for the Euro area using the same method as for the previous policy measures, so estimating equation (2) without the P vector. Second we measure the impact of ECB monetary policy on the 20 markets under study. Estimates stem from equation ( 3) in which the shadow rate substitutes for the 4 policy variables, so the model is a 5-equation VAR.

Results reported in Figures 11 and12 show that contrary to our former results, the interest rate channel vanishes. The only exception is the market for loans to NFC in Spain. As for the impact of ECB monetary policy on volumes, most impulse responses are not statistically significant. When they are, they give counter-intuitive outcomes: volumes increase (temporarily) in Germany (NFC loans) and Italy (5-year sovereign bonds and NFC loans).

We check that these outcomes are not sensitive to an identification approach without sign restrictions. Results reported in table 4 show that the shadow rate has no direct impact (at the 1% level) either on interest rates or on volumes in all markets studied. Sign restrictions would not fit the data.

In summary, the use of an overall stance of ECB monetary policy does not give the same results as with detailed stances of monetary policies, which we interpret as a support towards the approach we follow.

Conclusion

This paper aims at establishing the effect of a fine decomposition of conventional and unconventional ECB monetary policies on both interest rates and volumes in the four largest economies of the Eurozone during the global financial crisis. We first identify series of ECB policy shocks, the main refinancing operation interest rate for conventional policy and on amounts spent for each unconventional policy as stated in the ECB's Weekly Financial Statements, at the euro area aggregated level, by removing the systematic component of each series. Second, we include these four estimated series of interest rate and unconventional policy shocks in country-specific structural VARs with five macro variables.

The pass-through from the ECB rate to interest rates has been effective, consistently with the existing literature, whereas the transmission mechanism of the ECB rate to volumes has been weak. Unconventional policies have had uneven effects. It gives support to the break-up of unconventional policies between excess liquidity, LTRO and SHMPP. Excess liquidity has an effect on interest rates in Germany and Spain, and on volumes in France and Spain. In comparison, the impacts of LTRO measures are weaker and concentrated exclusively on interest rates. In contrast, SHMPP measures which were targeted towards peripheral countries have been effective at modifying interest rates in these countries and, to a lower extent, volumes.

This paper focuses on the effects of ECB monetary policies on low-frequency interest rates and volumes. Further research may be directed towards a cross investigation of higherfrequency event-studies allowing to capture the confidence and signalling channels with lower-frequency analysis allowing to capture the channels of transmission to macro variables. It would permit to estimate in a single framework both the effects of monetary policy actions and announcements.

Figure 1: ECB policy instrument time series

Note: The ECB rate is expressed in % while the three unconventional tools are expressed in percentage of EA GDP.

. Note: Thick lines plot the Euro Area aggregate policy shocks estimated in section 4 while thin lines plot the country-and market-specific shocks estimated with equation ( 4) but including ECB and unconventional variables in the vector of endogenous variables ̅ t in section 5.1. Since the analysis is performed for 4 countries and 5 markets, there are 20 series of country-and market-specific shocks plotted.

-

Figure 2 :

 2 Figure 2: Euro Area aggregate policy shocks and country-and market-specific shocks

  Figure 3: Response of interest rates to a positive ECB interest rate shock in Germany (1 st row), France (2 nd ), Italy (3 rd ) & Spain (4 th ) GB_6m GB_5y GB_10y NFC HH

Figure

  Figure 10: Response of volumes to a positive SHMPP shock in Germany (1 st row), France (2 nd ), Italy (3 rd ) & Spain (4 th )GB_6mGB_5y GB_10y NFC HH

Figure

  Figure 11: Response of interest rates to a positive shadow rate shock in Germany (1 st row), France (2 nd ), Italy (3 rd ) & Spain (4 th ) GB_6m GB_5y GB_10y NFC HH

Table 1 -

 1 Expected effects of positive monetary policy shocks 5

		Conventional	Unconventional
		policy	policies
	Interest rates	+	-
	Volumes	-	+

  This dataset comprises euro area aggregate data and national data. At the aggregate level, oil prices, the unemployment rate, the CISS, the Euro Stoxx 50, the 10-year euro area average sovereign bond interest rate, private credit growth and the euro/dollar exchange rate are taken from the ECB Statistical Data Warehouse. Oil prices, CISS and Euro Stoxx 50 indices are the same variable for all countries and correspond to Brent crude oil price in euro, expressed in month over month percentage change, to the Composite Indicator for Systemic Stress, capturing financial instability, and to the stock price index for the major 50 European firms. At the national level, for each country, the consumer price index is available on ECB Statistical Data Warehouse, and the volume of industrial production, used as a proxy for domestic output, is available on Eurostat. Both are expressed in year over year percentage change. We add the stock price index for their major firms: CAC40 for France, DAX for Germany, FTSE MIB for Italy and IBEX35 for Spain. All these are available on ECB Statistical Data Warehouse or Euronext website. TableAin the Appendix provides some descriptive statistics for all variables.

Table 2 -Estimates of the direct effect of policy variables on rates and volumes

 2

	Effect on interest rates

Table 3 -Estimates of the cross-effects of policy variables

 3

	Effect of the ECB rate on unconventional policy variables

Table C -Cumby-Huizinga test for autocorrelation

 C

	ECB rate				EL
	LTRO				SHMPP
	Note: H0: disturbance is MA process up to order q, HA: serial correlation
	present at specified lags >q.
			3 lags		6 lags
	Variable	F-stat	p-value	F-stat	p-value
	ECB rate	0.44	0.99	0.51	0.98
	EL	0.23	1	0.41	0.99
	LTRO	0.27	0.99	0.44	0.99
	SHMPP	0.56	0.95	0.69	0.89

Table D -Predictability of policy shocks

 D

	Note: Vector of explanatory variables: CPI, IndPro, Oil,
	Unemp, CISS, STOXX, 10yBond rates, Credit, Euro/Dollar.
		Mean	Std. Dev.	Min	Max
	eps_rate	0.00	0.08	-0.20	0.19
	eps_el	0.00	0.24	-0.78	0.93
	eps_ltro	0.00	0.35	-1.00	1.32
	eps_shmpp	0.00	0.05	-0.13	0.14
		eps_rate	eps_el	eps_ltro eps_shmpp
	eps_rate	1
	eps_el	-0.02	1
	eps_ltro	0.14	-0.69***	1
	eps_shmpp	-0.14	-0.19	0.20	1

Table E -Descriptive statistics and correlations Note:

 E The eps variables correspond to the shocks estimated in section 4. *** means that the p-value < 0.01.As a percentage of euro area GDP ECB Statistical Data WarehouseLTROLonger-term refinancing operations As a percentage of euro area GDP ECB Statistical Data WarehouseSIZESize of ECB's balance sheet (total assets / liabilities) As a percentage of euro area GDP ECB Statistical Data Warehouse

	Data description	Country specific variables
	C_GB_6M_R	Common variables Weighted av erage y ield of 6-month maturity bonds (from 165 to 210 day s) Annual Interest Rate	Deutsche Finanzagentur, Agence France Trésor, Banca D'Italia, Banco de España
	BCE CPI C_GB_6M_V IP C_GB_5Y_R UNEMP C_GB_5Y_V BONDS C_GB_10Y_R CREDIT C_GB_10Y_V C_GB_DMD	ECB interest rate on main refinancing operations Ov erall inflation in the euro area (changing composition) Total allotment of 6-month maturity bonds (from 165 to 210 day s) ov er the month As a percentage of euro area GDP Annual Interest Rate Index Weighted av erage y ield of 5-y ear maturity bonds (from 54 to 72 months) Annual Interest Rate Industrial production for the euro area (18 fix ed composition) Year ov er y ear percentage change ECB Statistical Data Warehouse ECB Statistical Data Warehouse Deutsche Finanzagentur, Agence France Trésor, Banca D'Italia, Banco de España ECB Statistical Data Warehouse Deutsche Finanzagentur, Agence France Trésor, Banca D'Italia, Banco de España Total allotment of 5-y ear maturity bonds (from 54 to 72 months) ov er the month Deutsche Finanzagentur, Agence France As a percentage of euro area GDP Trésor, Banca D'Italia, Banco de España Euro area (changing composition) standardised unemploy ment rate Annual Rate ECB Statistical Data Warehouse Weighted av erage y ield of 10-y ear maturity bonds (114 to 132 months) Deutsche Finanzagentur, Agence France Annual Interest Rate Trésor, Banca D'Italia, Banco de España Euro area (changing composition) 10-y ear gov ernment benchmark bond y ield Yield ECB Statistical Data Warehouse Total allotment of 10-y ear maturity bonds (from 114 to 132 months) ov er the month Deutsche Finanzagentur, Agence France As a percentage of euro area GDP Trésor, Banca D'Italia, Banco de España Stocks of loans and securities, all maturities, all amounts, euro area (changing compositon) As a percentage of euro area GDP ECB Statistical Data Warehouse Flow s of redemptions, securities in nominal v alue, all currencies combined Month to month percentage change ECB Statistical Data Warehouse
	GDP C_NFC_R	Gross domestic product at market prices, euro area (changing composition) Lending rate to domestic non-financial corporations (new business, index of notional stocks), all	Annual lev el, monthly frequency Annual Interest Rate	ECB Statistical Data Warehouse ECB Statistical Data Warehouse
	SHADOW		Shadow rate for the euro area maturities, all amounts	Annual Rate	Wu and Xia (forthcoming)
	EL C_NFC_V	Ex cess liquidity , computed as current accounts -reserv e requirements + deposit facility -marginal lending facility Loans to domestic non-financial corporations (new business, index of notional stocks), all amounts, all maturities Year ov er y ear percentage change As a percentage of euro area GDP ECB Statistical Data Warehouse Bundesbank, Banque de France, Banca D'Italia, Datastream
	C_NFC_DMD SHMPP C_HH_H_R C_HH_H_V	Securities held for monetary purposes (Securities Market Program, 1st 2d and 3d Cov ered Bond Diffusion index of loan demand, enterprise, forw ard looking three months Purchase Programs, Asset-Backed Securities Lending rate to domestic households (new business), for housing loans (all maturities, all Purchase Program) Loans to domestic households (new business), housing loans (all maturities, all amounts) As a percentage of euro area GDP Quarterly Index , monthly frequency Annual Interest Rate	BLS Surv ey ECB Statistical Data Warehouse Datastream, Banque de France, Banca d'Italia
	EL_i LTRO_i C_HH_DMD C_CPI SHMPP_i C_STOXX EURODOL C_IP	Dummies for ex cess liquidity announcements Diffusion index of loan demand, loans for house purchase, forw ard looking three months Dummies for longer-term refinancing operations Consumer Price Index announcements Dummies for securities held for monetary policy DAX (GDAXI), CAC 40, FTSE MIB and IBEX 35 Year ov er y ear percentage change Dummy Quarterly Index , monthly frequency Dummy Annual rate of change Dummy indices purposes announcements Euro-dollar ex change rate Monthly rate Volume index of industrial production Year ov er y ear percentage change	Based on ECB Monthly Bulletins BLS Surv ey Based on ECB Monthly Bulletins ECB Statistical Data Warehouse Based on ECB Monthly Bulletins Euronex t FRED Saint Louis Eurostat
	CISS	Composite Indicator of Sy stemic Stress	Index	ECB Statistical Data Warehouse
	STOXX	Dow Jones Euro Stox x 50 Price Index (Historical close, av erage of observ ations through period)	Equity /index	ECB Statistical Data Warehouse
	OP	Oil price (for commodity , brent crude oil 1 month forw ard) -free on board per barrel, in euro	Year ov er y ear percentage change ECB Statistical Data Warehouse

C stands for the country : G for Germany, F for France, I for Italy and S for Spain

Provided that the central bank affects real interest rates, the impact of monetary policy depends on the interest rate sensitivity of aggregate demand and supply, which may explain the decline of the monetary pass-through during the recent financial crisis.

See Gürkaynak and Wright (2012).

OMT measures (not operational yet) involve the purchase of public bonds up to 3-year maturity.

A positive conventional monetary policy shock corresponds to an increase in the policy rate, while a positive unconventional monetary policy shock corresponds to an expansion of the central bank balance sheet.

See appendix for data descriptions and descriptive statistics.

https://www.ecb.europa.eu/press/pr/wfs/2015/html/index.en.html

Together, they represent 25% of the French sovereign debt (9% for 6-month maturity bonds, 8% for 5-year maturity bonds and 8% for 10-year bonds), 32% of the Spanish one (2% for 6-month, 14% for 5-year, 16% for 10year), 49% of the Italian one (26% for 6-month, 12% for 5-year and 11% for 10-year), 58% of Germany's (21% for 6month, 17% for 5-year and 20% for 10-year).

 9 In each country, cash loans represent 30% of all loans to households on average over the sample. The variance of interest rates on housing loans is 9 times higher than the variance of interest rates of cash loans in Germany, 3 times higher in Italy, 30% higher in France and 18% higher in Spain.

Alternatives include Instrumental Variables, but there is no obvious relevant instrument to our knowledge or usual VAR sign-restrictions, but they need strong theoretical priors, while our stance here is to let the data speak.

Note that the shocks are not purely independent by construction. However, except shocks to EL and LTRO, they are actually not statistically correlated.

EL and LTRO share similar objectives.

The impulse response corresponds to the percentage point change in interest rates, in response to a one-S.D. innovation in the ECB interest rate, together with 1 and 2 S.E. confidence band intervals.

for helpful comments. This research project benefited from funding from the European Union Seventh Framework Programme (FP7/2007-2013) under grant agreement n°266800 (FESSUD). This paper previously circulated under the title "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies". Any remaining errors are our own responsibility.


Adam Baczko

Gilles Dorronsoro

Chapter 21: United Nations Good Offices Mission in Afghanistan and Pakistan (UNGOMAP)

Introduction

On 27 December 1979, Soviet forces invaded Afghanistan, assassinating the Afghan leader, Hafizullah Amin, and replacing him with Babrak Karmal in the hope of ending a popular revolt against the Communist regime. More than 100,000 Soviet troops were quickly deployed, turning the internal revolt into a full-scale war against a foreign invader. Between 15 August 1988 and 1 January 1989, Soviet troops interrupted temporarily their withdrawal, probably due to logistical problems. However, in a matter of days, troops started again to leave by air and by road in grouped convoys, and on 15 February 1989, the Soviet withdrawal was completed. Finding compliance from all actors over this issue, UNGOMAP did not face major difficulties and succeeded in this part of its mandate. The 50 officers facilitated communication between the belligerent over the different phases of withdrawal and ensured the completion of the process. Afghan side of the border with Pakistan, were no more able to monitor the situation on the ground. Furthermore, neither Islamabad nor Kabul was willing to collaborate with UNGOMAP; they were following their own agendas and the UN mission had neither the mandate nor the means to accomplish its mission. Without the cooperation of the actors involved in the conflict, UNGOMAP could only register the complaints from each side without investigating them thoroughly and could not take any measure to coerce them to comply with the Accords.

The failure to monitor non-interference and non-intervention

The impossibility of effectively monitoring the voluntary return of refugees

Despite being an explicit part of the UNGOMAP mandate, the voluntary return of millions of refugees could not be supervised by the under-resourced UN mission. In practice, the UN High Commissioner for Refugees (UNHCR) was in charge of the Agreement on the Voluntary Return of Refugees and UNGOMAP was tasked only to inform it on the security conditions within Afghanistan. Yet with 50 personnel and its outposts located near to the Afghan-Pakistan border, UNGOMAP could not collect sufficient information. In addition, the voluntary return of refugees was an unrealistic expectation. The fighting did not stop after the Soviet withdrawal. UNGOMAP's mandate was focused on the international dimension of the armed conflict, but even without Soviet troops, the war continued between Najibullah's regime and the mujahidin. Due to this heavy fighting inside Afghanistan, few refugees were able to come back to Afghanistan during the period of the UNGOMAP mandate.

Termination of the mission

The UNGOMAP mandate was extended for two months by UN Security Council resolution 647 (11 January 1990). This was decided as the 20-month timeframe initially defined in the Geneva accords was dependent on the beginning of the implementation of the instruments, yet the third instrument on refugee return, had not begun. The Secretary-General therefore had grounds for a mandate extension, but this was conditional upon the goodwill of the Security Council's members. In fact, when Javier Perez de Cuellar tried to obtain another extension of the mission in November 1990, no consensus could be reached in the Council, and the mission therefore ended. The United States was then disengaging itself from the war and a UN mission was considered useless in the context of the new phase of the civil war.

This was effected on 15 March 1990. To maintain a UN presence, the Secretary-General created the Office of the Secretary-General in Afghanistan and Pakistan (OSGAP) with a mandate to assist the return of refugees and facilitate a political settlement vi . Benon Sivan (Cyprus), Assistant Secretary-General, was appointed head of the new structure and also became the Coordinator of Humanitarian Assistance to Afghanistan. However, this under-funded mission, created from the remnants of UNGOMAP whose only achievement had been to monitor Soviet troop withdrawal, could not succeed. It lacked the necessary resources to influence decisively a situation that was getting more and more complex, as Afghan factions and their respective foreign supporters involved in fighting were multiplying. Without influence on the Afghan parties and no strong support from the international community, the OSGAP was not able to contain in any significant manner the civil war that developed after the fall of Kabul in 1992 to a coalition of former Mujahidin parties, including Gulbuddin Hekmatyar's Hezb-e Islami, Ahmed Shah Massoud and Burhanuddin Rabbani's Jamiat-e Islami, Abdul Rashid Dostum's Junbish-i Milli and Abdul Ali Mazari's Hezb-e Wahdat. Fighting rapidly broke out among the various factions and, when the OSGAP mandate ended on 31 January 1995, the civil war was still going on vii . The UN role became residual, a situation which lasted until 1999, when sanctions were taken against the Taliban. Three years earlier, this clerical movement, born in 1994 in the province of Kandahar, had taken over Kaboul and most of the Afghan territory from the coalition of former Mujahidin leaders. At that time, the civil war was limited to the North, where, under the name of the Northern Alliance, the remnants of the Mujahidin kept fighting the Taliban. Yet, the return of the UN involvement in the Afghan conflict did not allude to the civil war, but to the presence of Al-Qaeda in Afghanistan.

Conclusion

UNGOMAP took place in the context of renewed UN activism and provided an early post-cold war indication of the potential opportunities and the challenges of UN mediation and peacekeeping. When actors were willing to comply with UNGOMAP (in the monitoring the Soviet withdrawal for example), the UN mission could accomplish its mandate. Conversely when the agenda of the states and armed groups involved cut across UNGOMAP's mandate (in monitoring the non-intervention and non-interference and the voluntary return of refugees for example), the UN operation lacked both resources and support to achieve its objectives. It could only register complaints, but not act upon them. Despite the multiplication of peacekeeping missions after the end of the 1980s, the UN as a whole remained largely dependent on the goodwill of the member states within the UN for its good offices to succeed in Afghanistan, as elsewhere. When the regional powers, notably Pakistan, took the front seat in the 1990s, the UN was de facto marginalize and will only be back in the Afghan crisis with the sanction against the Taliban, when again a consensus could be attained between the major powers.

  Millions of refugees flocked to Pakistan and Iran. Pakistan became a sanctuary for the Afghan resistance, the mujahidin. The country had a long-standing border dispute with Afghanistan over Pashtunpopulated areas. This tension, that several time in the past came close to armed confrontation, had been aggravated in the recent years by the ideological divide resulting from the military coups occurring in both countries. While communists had taken power in Afghanistan in 1978, Muhammad Zia-ul-Haq's rule on Pakistan was based since 1977 on Islamism. The mujahidin could also count on the support of some Western and Arab Gulf countries, which supplied them with money, arms and training, transforming the Afghan crisis into one of the last chapters of the Cold War. Due to the opposition of the Soviet Union, the UN Security Council was unable to adopt a resolution condemning the invasion of Afghanistan and the matter was addressed in an emergency session of the General Assembly. Assembly Resolution ES-6/2 of 14 January 1980 deplored the armed intervention and called for the "immediate, unconditional and total withdrawal of the foreign troops from Afghanistan" i . Subsequently, UN Secretary-General Kurt Waldheim appointed Javier Pérez de Cuéllar as his Personal Representative for Afghanistan. Pérez de Cuéllar shuttled between Moscow, Washington, Islamabad and Kabul, yet the positions of Afghanistan and Pakistan appeared irreconcilable. For the regime in Kabul, the mujahidin were proxies for Pakistan and direct negotiations between the two governments were necessary, while Pakistan insisted on self-determination for the Afghan people. Faced with the impossibility of a direct dialogue, the UN adopted a policy of indirect rapprochement. Due to Perez de Cuellar's election as UN Secretary-General in 1981, Diego Cordovez (Ecuador) became the new Special Representative and succeeded in initiating indirect negotiation in Geneva, beginning in June 1982. After a series of contacts, Pérez de Cuéllar suggested a fourpoint agenda, which was ultimately the basis of the 1988 Geneva Accords. The growing condemnation of the Soviet occupation among UN member states, the political reforms of Gorbachev in the USSR from 1986 and the lack of decisive military results on the ground explain the Soviet decision to withdraw. The Geneva Accords (Agreements on the Settlement of the Situation Relating to Afghanistan) were signed on 14 April 1988 ii . They were designed to oversee the withdrawal of Soviet troops and a political transition in Afghanistan. The Accords consisted of four instruments: -a bilateral agreement between the Republic of Afghanistan and the Islamic Republic of Pakistan on the principles of non-interference and non-intervention; -a declaration on international guarantees, signed by the USSR and the United States; -a bilateral agreement between Afghanistan and Pakistan on the voluntary return of refugees; -and an agreement on the interrelationships for the settlement of the situation relating to Afghanistan, signed by Afghanistan and Pakistan and witnessed by the Soviet Union and the United States iii . This last instrument contained provisions to monitor the Soviet withdrawal. The UN Secretary-General was asked to appoint a Representative with a support staff. Through his good offices, the parties were to implement smoothly the arrangements contained in the Accords. A month later, in May 1988, the United Nations Good Offices Mission in Afghanistan and Pakistan (UNGOMAP) was established. It was officially confirmed by Security Council resolution 622 of 31 October 1988 iv . UNGOMAP was officially created by Security Council resolution 622 of 31 October 1988 to assist Afghanistan and Pakistan in implementing the Geneva Accords and to investigate and report any violations of the Accords. The mission was active from May 1988, following the signing of the four part Agreements, and ceased operations on 15 March 1990. The cost of the mission, $14 million, was covered by the appropriations from the regular budget of the UN Expenditures. UNGOMAP comprised 40 officers temporarily detached from existing peacekeeping operations (UNTSO, UNDOF, UNIFIL) and ten officers from Austria, Canada, Denmark, Fiji, Finland, Ghana, Ireland, Nepal, Poland and Sweden. Authorized strength and maximum deployment: 50 military observers, supported by a number of international and local civilian staff At withdrawal: 35 military observers, supported by a number of international and local civilian staff Fatalities: None The Course of the mission To monitor the Geneva Accords, a Representative of the Secretary-General -Mr. Cordovez -was appointed and assisted by a support staff that constituted the United Nations Good Offices Mission in Afghanistan and Pakistan (UNGOMAP). A senior military officer -Major-General Rauli Helminen (Finland) -was designated as Deputy to the Representative. UNGOMAP established two headquarters, one in Kabul and the other in Islamabad, each consisting of five military officers and a civilian component. Fifty military officers and up to 40 additional officers were temporarily redeployed from existing UN operations (the UN Truce Supervision Organization in the Middle East, the UN Disengagement Observer Force on the Golan Heights and the UN Interim Force in Lebanon) v . The UNGOMAP's mandate included: the monitoring of non-interference and nonintervention by Afghanistan and Pakistan in each other's internal affairs; the withdrawal of Soviet troops from Afghanistan; and the voluntary return of refugees.The successful monitoring of the Soviet withdrawalThe Geneva Accords contained provisions for the timetable and modalities of the withdrawal of Soviet troops from Afghanistan. To monitor the withdrawal, UNGOMAP coordinated with the Soviet and Afghan representatives on the schedule and roads taken. Three permanent outposts were established to monitor the Soviet withdrawal: at the border points of Hayratan and Torghundi, and at the Shindand air base, used for withdrawal by air. The Soviet army had approximately 100,000 soldiers located in half of the Afghan provinces. On 12 May, 1988 the withdrawal began at Jalalabad and Kandahar, then on 26 July at Shindand. In accordance with the stipulations of the fourth instrument of the Geneva Accords, the first withdrawal from Kabul took place in August, by which time, according to marshal Boris Gromov, the commander in chief of the Red Army, no more than half of the Soviet forces remained, concentrated into the six provinces of Kabul, Baghlan, Samangan, Kapisa, Farah and Herat 1 .

From

  the outset of UNGOMAP's mission, Kabul and Islamabad complained about each other's interference. In particular, Afghanistan mentioned the continuing border crossings of mujahidin coming from the training camps in Pakistan, the violations of Afghan airspace by Pakistani aircraft, as well as activities of the Inter Service Intelligence (ISI) in Afghanistan. Afghan complaints were especially numerous in the months following the Soviet withdrawal. From the spring of 1989, the mujahidin launched a series of military operations, the most important ones against the city of Jalalabad, which were supposed to bring down the Afghan government. Pakistan participated in this massive offensive both directly, with the presence of ISI officers alongside the mujahidin, and indirectly by providing a sanctuary and logistical help. On the Pakistani side, the complaints included violations of airspace, the use of SCUD missiles in Pakistani territory and "terrorist attacks" (bombings attributed to the Afghan intelligence, the KHAD, especially in Peshawar). UNGOMAP was not equipped to deal with these large-scale incidents. The outposts established in November 1988 in Peshawar and Quetta in Pakistan were far from the battlefield and the new posts established in April 1989, at Torkham, Teri Mangal and Chaman on the

Gilles Dorronsoro, Revolution Unending: Afghanistan 1979 to the Present, Hurst & Company, London,