Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy

Matteo Barigozzi, Claudio Lissona and Lorenzo Tonni

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Abstract: We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA-MD-QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA. Using EA-MD-QD, we study country-specific impulse responses to an EA-wide monetary policy shock. Results reveal moderate yet significant cross-country heterogeneity, with a core-periphery pattern in prices and interest rates and meaningful differences in real activity, while stock price responses are relatively homogeneous. Evidence points to homeownership and saving behavior as potential drivers of the observed cross-country differences.

Date: 2024-10, Revised 2025-11
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
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