Shadow rates and spillovers across the Eurozone: a spatial dynamic panel model
Cristiana Fiorelli (),
Alfredo Cartone and
Additional contact information
Cristiana Fiorelli: University of Rome Tor Vergata
Alfredo Cartone: G. d’Annunzio University of Chieti-Pescara
Matteo Foglia: G. d’Annunzio University of Chieti-Pescara
Empirica, 2021, vol. 48, issue 1, No 10, 223-245
Abstract In this paper, we focus on the effect of spillovers in monetary policy in the period 2004–2017. Firstly, we calculate shadow rates that measure the monetary stances for each country analysed. Then, by using the approach of spatial dynamic panel, we account for the presence of potential spillovers in the Eurozone, both in the long and short run, while controlling for the main channels regulating the monetary stances. Results confirm that monetary policy is largely affected by the presence of spillovers due to proximity in the business cycles and this effect should be considered to manage the effects of monetary policy in different European economies.
Keywords: Shadow rate; Spatial panel; Spatial dependence; Business cycle (search for similar items in EconPapers)
JEL-codes: C23 E42 E52 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s10663-020-09483-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:empiri:v:48:y:2021:i:1:d:10.1007_s10663-020-09483-5
Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663
Access Statistics for this article
Empirica is currently edited by Fritz Breuss and Fritz Breuss
More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().