Titre : | Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model |
Auteurs : | Matteo Barigozzi ; Antonio m. Conti ; Matteo Luciani |
Type de document : | Electronic document |
Editeur : | Brussels : European Union |
ISBN/ISSN/EAN : | 978-92-79-19225-8 |
Langues: | Anglais |
Tags : | Monetary policy |
Résumé : |
Keywords : Structural Dynamic Factor Model; European Monetary Union; Monetary Transmission; Asymmetric Effects; Monetary Policy; Abstract : This paper estimates a Structural Dynamic Factor model on a large panel of Euro Area quarterly series. We find that the Euro Area business cycle is driven by four common shocks, among which we identify the monetary policy shock. Impulse responses show neither a price puzzle nor a delayed overshooting puzzle. We find evidence of asymmetric responses to a monetary policy shock with respect to Greek GDP, German and Italian CPI, Italian and Spanish unemployment. Finally, Euro’s introduction is found to account for a weaker GDP response, a stronger CPI reaction and an increased homogeneity in the transmission of shocks across countries. |
En ligne : | http://units.mil.intra/sites/UBDef-BUDef/Articles/303154R.pdf |
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Code-barres | Cote | Support | Localisation | Section | Disponibilité |
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303154R | n.c. | Electronic | Royal Military Academy | SharePoint | Disponible |