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

Martin Mandler, Michael Scharnagl and Ute Volz

Journal of Money, Credit and Banking, 2022, vol. 54, issue 2-3, 627-649

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.

Date: 2022
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Citations: View citations in EconPapers (7)

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https://doi.org/10.1111/jmcb.12859

Related works:
Working Paper: Heterogeneity in euro-area monetary policy transmission: Results from a large multi-country BVAR model (2016)
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:wly:jmoncb:v:54:y:2022:i:2-3:p:627-649

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