State‐Dependent Transmission of Monetary Policy in the Euro Area

Jan Pablo Burgard, Matthias Neuenkirch and Matthias Nöckel ()

Journal of Money, Credit and Banking, 2019, vol. 51, issue 7, 2053-2070

Abstract: We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 1999–2015. In contrast to other classes of nonlinear vector autoregressive models, regime affiliation is neither strictly binary, nor binary with a transition period, and based on multiple variables. We show that monetary policy transmission in the euro area can be described as a mixture of two states. In both states, output and prices are found to decrease after contractionary monetary policy shocks. However, the effects of monetary policy are less enduring in the “crisis state.”

Date: 2019
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Citations: View citations in EconPapers (7)

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https://doi.org/10.1111/jmcb.12592

Related works:
Working Paper: State-Dependent Transmission of Monetary Policy in the Euro Area (2018)
Working Paper: State-Dependent Transmission of Monetary Policy in the Euro Area (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:51:y:2019:i:7:p:2053-2070

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