期刊
JOURNAL OF POLICY MODELING
卷 42, 期 6, 页码 1310-1333出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.jpolmod.2020.05.004
关键词
Euro area monetary policy; Global vector autoregression; spillovers
类别
资金
- Czech National Bank Research Project [B2/2015]
This paper investigates the effects of a euro area monetary policy shock on Central, Eastern, and Southeastern Europe (CESEE). We use shadow rates as a proxy for the monetary policy stance and propose a novel way of treating euro area countries in a multi-country framework. More specifically, our approach allows to place sign restrictions on both euro area aggregate and single member states' quantities. This procedure fully takes cross-country heterogeneity within the euro area into account and leads to shocks that are economically consistent between both layers of aggregation. Our results show that prices and output fall in response to the euro area monetary tightening, both within the euro area and the CESEE region but to a varying degree. The revealed cross-country heterogeneity in the size of the effects emphasizes the usefulness and importance of our empirical approach. (C) 2020 Published by Elsevier Inc. on behalf of The Society for Policy Modeling.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据