Heterogeneity in euro area monetary policy transmission: results from a large multi-country BVAR model

Konferenzbeitrag

We study cross-country differences in monetary policy transmission across the large four euro area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country differences in impulse responses as well as on a battery of other tests we find real output to respond less negatively to a monetary policy tightening in Spain than in the other three countries while the price level decline is weaker in Germany. Bond yields rise stronger and more persistently in France and Germany than in Italy and Spain.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Applied Macroeconometrics ; No. A01-V1

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Quantitative Policy Modeling ; Monetary Policy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Scharnagl, Michael ; Mandler, Martin ; Volz, Ute
• Event: Veröffentlichung
• (who): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (where): Kiel und Hamburg
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/145847
• Last update: 10.03.2025, 11:43 AM CET