Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model

2021/09/06 by MARTIN MANDLER, Martin Mandler, MICHAEL SCHARNAGL +3 · 1 citation
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Italy: Economic History and Contemporary Issues #Economic Policies and Impacts

paper · doi:10.1111/jmcb.12859

Abstract

Abstract We study cross‐country differences in monetary policy transmission across the largest euro area economies (France, Germany, Italy, and Spain) using a large Bayesian vector autoregressive (BVAR) model with endogenous prior selection. Drawing on the posterior distributions of the cross‐country differences in impulse responses and on other tests, we find real output and the money supply to respond more strongly in Germany to monetary policy than in the other countries. Whereas, the price level response is strongest in Spain and weakest in Germany. Longer‐term interest rates react more strongly in Germany and France than in Italy and Spain.

Citations

• Bayesian Methods for Dynamic Multivariate Models
• Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Cited by

• Economic Growth Vulnerability Across Euro Area Countries

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