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Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model

Matteo Barigozzi, Antonio Conti () and Matteo Luciani

No 441, European Economy - Economic Papers 2008 - 2015 from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission

Abstract: We study the effects of euro area common monetary policy by means of a structural dynamic factor model estimated on a large panel of euro area quarterly series. While we estimate a flat response of prices to a monetary policy shock, which we explain as aggregation of heterogeneous country-specific responses, we find no relevant asymmetries between countries in terms of output reaction. However, for both Spain and Italy, we find asymmetries in consumption, investment and unemployment. The introduction of the single currency in 1999 has helped reducing asymmetries in price responses but not in consumption and investment.

JEL-codes: C32 E41 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
Date: 2011-03
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