The Symmetry of ECB Monetary Policy Impact Under Scrutiny: An Assessment

32 Pages Posted: 8 Feb 2017 Last revised: 21 Dec 2017

See all articles by Massimiliano Serati

Massimiliano Serati

Carlo Cattaneo - LIUC University

Andrea Venegoni

LIUC Università Cattaneo

Date Written: February 6, 2017

Abstract

Since its inception, EMU adequacy to be an Optimal Currency Area was questioned, and, along with it, the homogeneous transmission of the monetary impulses across the Eurozone. Adopting a Bayesian Time-Varying parameter FAVAR model that fixes the flaws present in the existing literature and exploits a sufficiently extended dataset, we provide an updated assessment of the transmission mechanism’s functioning and of its symmetry along these first years of ECB operations. The empirical analysis shows that the occurrence of the two crises significantly altered the policy transmission, with the interest rate channel being the most affected. Policy-wise, our findings suggest that authorities must push towards a consistent innovation both on fiscal and monetary sides.

Keywords: Monetary Policy Transmission, Optimal Currency Areas, European Monetary Union, Time-Varying FAVAR

JEL Classification: E42, E52, E58, F42, F45

Suggested Citation

Serati, Massimiliano and Venegoni, Andrea, The Symmetry of ECB Monetary Policy Impact Under Scrutiny: An Assessment (February 6, 2017). Available at SSRN: https://ssrn.com/abstract=2912385 or http://dx.doi.org/10.2139/ssrn.2912385

Massimiliano Serati

Carlo Cattaneo - LIUC University ( email )

Corso Matteotti 22
Castellanza, Varese 21053
Italy

Andrea Venegoni (Contact Author)

LIUC Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

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