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

36 Pages Posted: 16 Jul 2013

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

Antonio Maria Conti

Banca d'Italia

Matteo Luciani

Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Date Written: July 12, 2013

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. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we nevertheless find that differences remain between Northern and Southern Europe in terms of prices and unemployment. These results are the consequence of country specific structures, not of European Central Bank policies.

Keywords: monetary policy transmission, asymmetric effects, European Monetary Union, Structural Dynamic Factor model

JEL Classification: C32, E32, E52

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? (July 12, 2013). Bank of Italy Temi di Discussione (Working Paper) No. 923, Available at SSRN: https://ssrn.com/abstract=2293875 or http://dx.doi.org/10.2139/ssrn.2293875

Matteo Barigozzi

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

HOME PAGE: http://www.barigozzi.eu/research.html

London School of Economics and Political Science ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

University of Bologna ( email )

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Bologna, 40100
Italy

Antonio Maria Conti (Contact Author)

Banca d'Italia ( email )

Via Nazionale 91
Roma, 00161
Italy

Matteo Luciani

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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