Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model
نویسندگان
چکیده
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 posterior distributions of impulse responses other tests, we find real output money supply to respond more strongly Germany than countries. Whereas, price level response is strongest Spain weakest Germany. Longer-term interest rates react France Italy Spain.
منابع مشابه
Lessons for Monetary Policy from the Euro-Area Crisis
The earlier 2007/2008 financial crisis generated the main lessons for monetary policy, notably that price stability does not necessarily guarantee financial stability. Nevertheless, the on-going Eurozone crisis has pointed to further lessons, notably that a single currency covering diverse states does need a Banking Union; and to problems of zero risk-weighting for sovereign debts. Without such...
متن کاملInsurance Policies for Monetary Policy in the Euro Area
Insurance Policies for Monetary Policy in the Euro Area* In this paper, we examine the cost of insurance against model uncertainty for the euro area considering four alternative reference models, all of which are used for policy analysis at the ECB. We find that maximal insurance across this model range in terms of a Minimax policy comes at moderate costs in terms of lower expected performance....
متن کاملBank heterogeneity and monetary policy transmission
The heterogeneity in the response of banks to a change in monetary policy is an important element in the transmission of this policy through banks. This paper examines the role of bank liquidity, capitalization and market power as internal factors influencing banks’ reaction in terms of lending and risk-taking to monetary policy impulses. The ultimate impact of a monetary policy change on bank ...
متن کاملDiscussion of “Monetary Policy, Macroprudential Policy, and Banking Stability: Evidence from the Euro Area”∗
The staggering economic and social costs left behind by the near collapse of the global financial system in the autumn of 2008 have led to much soul searching among economists. What were the factors that contributed to the massive buildup of risks and imbalances in the financial system in the years prior to the 2007–09 financial crisis—many of which went undetected or were poorly understood at ...
متن کاملA Two-Pillar DSGE Monetary Policy Model for the Euro Area
Whereas the bulk of the literature on DSGE models provides a rationale for ination targeting strategies, there is no model doing such a job for the strategy implemented for almost ten years now by the Eurosystem and known as the "two-pillar monetary policy strategy". We try to address this issue by developping a small "two-pillar" DSGE model for the euro area. In this paper: 1) we allow real b...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2021
ISSN: ['1538-4616', '0022-2879']
DOI: https://doi.org/10.1111/jmcb.12859