Are there asymmetries in euro area monetary policy? (Michael Pfarrhofer, Anna Stelzer)

Michael Pfarrhofer () and Anna Stelzer ()
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Michael Pfarrhofer: Vienna University of Economics and Business
Anna Stelzer: Oesterreichische Nationalbank

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: We assess asymmetries, nonlinearities and state dependencies in dynamic responses of the euro area to monetary policy shocks. The dataset includes macroeconomic, financial, and survey-based variables measuring credit conditions and bank lending transmission channels. These data are observed at different frequencies. We propose a multivariate nonparametric mixed-frequency model, and discuss how to compute dynamic causal effects in a nonlinear context. The results suggest limited effects of expansionary policy shocks whereas contractionary shocks yield responses in line with theory. There is little variation over the business cycle and in distinct periods such as at the effective lower bound.

Keywords: nonlinear structural inference; mixed frequency data; Bayesian nonparametrics; credit channel (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Pages: 40
Date: 2026-03-16
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