Download or read book Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model written by Matteo Barigozzi and published by . This book was released on 2011 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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."--Publication information page.

Download or read book Comovements and heterogeneity in the euro area analyzed in a non stationary dynamic factor model written by Sandra Eickmeier and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper establishes stylized facts on comovements and heterogeneity of individual euro-area countries' output and price developments in the past two decades. For this purpose, a non-stationary structural dynamic factor model is fit to a dataset of euro-area macroeconomic variables. The main results are as follows. Common permanent factors are important in explaining individual countries' output and price developments in the euro area. Output and prices are not only hit by permanent common, but also by permanent idiosyncratic shocks. The latter are mainly responsible for cross-country heterogeneity during most of the sample. The asymmetric transmission of common shocks plays a minor role; there is no strong evidence that some common shocks lead to greater cross-country heterogeneity than others.

Download or read book One Money Many Markets Monetary Transmission and Housing Financing in the Euro Area written by Giancarlo Corsetti and published by International Monetary Fund. This book was released on 2020-06-26 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity, which we find to be low in financial variables and output, but significant in consumption, consumer prices, and variables related to local housing and labor markets. Building a small open economy model featuring a housing sector and calibrating it to Spain, we show that varying the share of adjustable-rate mortgages and loan-to-value ratios explains up to one-third of the cross-country heterogeneity in the responses of output and private consumption.

Download or read book How Loose How Tight A Measure of Monetary and Fiscal Stance for the Euro Area written by Nicoletta Batini and published by International Monetary Fund. This book was released on 2020-06-05 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a model-based dynamic monetary and fiscal conditions index (DMFCI) and uses it to examine the evolution of the joint stance of monetary and fiscal policies in the euro area (EA) and in its three largest member countries over the period 2007-2018. The index is based on the relative impacts of monetary and fiscal policy on demand using actual and simulated data from rich estimated models featuring also financial intermediaries and long-term government debt. The analysis highlights a short-lived fiscal expansion in the aftermath of the Global Financial Crisis, followed by a quick tightening, with monetary policy left to be the “only game in town” after 2013. Individual countries’ DMFCIs show that national policy stances did not always mirror the evolution of the aggregate stance at the EA level, due to heterogeneity in the fiscal stance.

Download or read book Information Variables for Monetary Policy in a Small Structural Model of the Euro Area written by Francesco Lippi and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Measuring Euro Area Monetary Policy written by Carlo Altavilla and published by . This book was released on 2019 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision announcement and the window that contains the press conference. We also show that the QE-related policy factor has been dominant in the recent period and that Forward Guidance and QE effects have been very persistent on the longer-end of the yield curve. We further show that broad and banking stock indices' responses to monetary policy surprises depended on the perceived nature of the surprises. We find no evidence of asymmetric responses of financial markets to positive and negative surprises, in contrast to the literature on asymmetric real effects of monetary policy. Lastly, we show how to implement our methodology for any policy-related news release, such as policymaker speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database, which contains intraday asset price changes around the policy decision announcement as well as around the press conference, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area.

Download or read book Structural Factor Analysis of Interest Rate Pass Through in Four Large Euro Asia Economies written by Anindya Banerjee and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "In this paper we examine the influence of unconventional monetary policy at the ECB on mortgage and business lending rates offered by banks in the major euro area countries (Germany, France, Italy and Spain). Since there are many different policy measures that have been undertaken, we utilise a dynamic factor model based on the Bernanke Boivin and Eliasz (2005) approach, which allows examination of impulse responses to a policy rate conditioned by structurally identified latent factors. The distinct feature of this paper is that it explores the effects of all three phases of monetary policy to emphasize the transmission channels - through short-term rates, long-term yields and perceived risk - ultimately directed towards bank lending rates. Further analysis of unconventional monetary policy is provided through rolling window impulse responses and variance decompositions of the identified financial factors on lending rates to demonstrate the changing influence of different policy measures on lending rates. Keywords: monetary policy, dynamic factor models, interest rates, pass through"--Page 1.

Download or read book Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy written by Matteo Barigozzi and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Measuring the Effects of Monetary Policy in the Euro Area written by Jan Gottschalk and published by . This book was released on 2001 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The ECB s Monetary Analysis Revisited written by Helge Berger and published by International Monetary Fund. This book was released on 2008-07 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exclusive focus on non-monetary factors alone may leave the ECB with an incomplete picture of the economy. However, treating monetary factors as a separate matter is a second-best solution. Instead, a general-equilibrium inspired analytical framework that merges the economic and monetary "pillars" of the ECB's policy strategy appears the most promising way forward. The role played by monetary aggregates in such unified framework may be rather limited. However, an integrated framework would facilitate the presentation of policy decisions by providing a clearer narrative of the relative role of money in the interaction with other economic and financial sector variables, including asset prices, and their impact on consumer prices.

Download or read book How Synchronized are New EU Member States With the Euro Area Evidence from a Structural Factor Model written by Sandra Eickmeier and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A high degree of cyclical synchronization between the new EU member states (NMS) from Central and Eastern Europe and the euro area is considered to be a prerequisite for successful enlargement of the European Monetary Union. In this paper, we establish stylized facts on economic linkages between NMS and the euro area using dynamic correlation and cohesion measures. Then, we identify the main structural common euro-area shocks and investigate their transmission to NMS by means of a large-scale factor model. Finally, we compare it to the propagation to current EMU members.

Download or read book Nonlinearities in the Dynamics of the Euro Area Demand for M1 written by Alessandro Calza and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy Transmission in the Euro Area written by and published by . This book was released on 2001 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy in the Euro Area written by Otmar Issing and published by Cambridge University Press. This book was released on 2001-07-26 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: A non-technical analysis of the monetary policy strategy, institutions and operational procedures of the Eurosystem, first published in 2001.

Download or read book The Transmission of Monetary Policy Shocks from the US to the Euro Area written by Stefano Neri and published by . This book was released on 2006 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy Transmission in the Euro Area written by Ignazio Angeloni and published by Cambridge University Press. This book was released on 2003-12-04 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2003 book offers the most systematic analysis available of the impact of European Central Bank monetary policy on the national economies of the Eurozone. Analysing macro and micro-economic evidence, with chapters by central bank economists, including a discussion chapter by eminent macroeconomists, it is an essential contribution to research on the subject.

Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: