Heterogeneity in euro area monetary policy transmission: results from a large multi-country BVAR model
Michael Scharnagl,
Martin Mandler and
Ute Volz
VfS Annual Conference 2016 (Augsburg): Demographic Change from Verein für Socialpolitik / German Economic Association
Abstract:
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.
JEL-codes: C11 C54 E52 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (14)
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Related works:
Journal Article: Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model (2022) 
Working Paper: Heterogeneity in euro-area monetary policy transmission: Results from a large multi-country BVAR model (2016) 
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc16:145847
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