Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Barigozzi, Matteo; Conti, Antonio Maria; Luciani, Matteo

doi:10.2139/ssrn.1624942

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Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

32 Pages Posted: 14 Jun 2010 Last revised: 29 Oct 2012

See all articles by Matteo Barigozzi

Matteo Barigozzi

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); London School of Economics and Political Science; University of Bologna

Matteo Luciani

Board of Governors of the Federal Reserve System

There are 3 versions of this paper

Date Written: October 22, 2012

Abstract

We investigate the possible existence of asymmetries among Euro Area countries reactions to the European Central Bank monetary policy. Our analysis is based on a Structural Dynamic Factor model estimated on a large panel of Euro Area quarterly variables. We find that, despite the single monetary policy has had the effect of reducing heterogeneity in impulse responses, member states still react asymmetrically in terms of prices and unemployment, while no difference appears in terms of output. These results are the consequence of country specific structures, rather than of European Central Bank policies.

Keywords: Monetary Policy Transmission, Asymmetric Effects, European Monetary Union, Structural Dynamic Factor Model

JEL Classification: C32, E41, E52

Suggested Citation: Suggested Citation

Barigozzi, Matteo and Barigozzi, Matteo and Barigozzi, Matteo and Conti, Antonio Maria and Luciani, Matteo, Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? (October 22, 2012). Available at SSRN: https://ssrn.com/abstract=1624942 or http://dx.doi.org/10.2139/ssrn.1624942