18.10.2018.

Working Paper: Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe

Working Paper 4/2018

Photo by: Latvijas Banka

ABSTRACT
This paper investigates the international effects of a euro area monetary policy shock, focusing on countries from Central, Eastern, and Southeastern Europe (CESEE). To that end, we use a global vector autoregressive (GVAR) model and employ shadow rates as a proxy for the monetary policy stance during normal and zero-lower-bound periods. We propose a new way of modelling euro area countries in a multi-country framework, accounting for joint monetary policy, and a novel approach to simultaneously identifying shocks. Our results show that in most euro area and CESEE countries prices adjust and output falls in response to a euro area monetary tightening, but with a substantial degree of heterogeneity. 

Keywords: euro area monetary policy, global vector autoregression, spillovers

JEL codes: C32, F44, E32, O54

APA: Benecká, S., Fadejeva, L., Feldkircher, M. (2019, 23. mar.). Working Paper: Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe. Taken from https://www.macroeconomics.lv/node/4281
MLA: Benecká, Soňa. Fadejeva, Ludmila. Feldkircher, Martin. "Working Paper: Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe" www.macroeconomics.lv. Tīmeklis. 23.03.2019. <https://www.macroeconomics.lv/node/4281>.
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