A previous version of this article circulated under the title ‘Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model’. We are grateful to two anonymous referees for excellent, helpful comments. This article has benefited also from discussions with Bjoern Dohëring, Mario Forni, Domenico Giannone, Stefano Neri and Ralph Setzer. This article was written while Antonio Conti was intern at the European Commission, Directorate General of Economic and Financial Affairs, and while Matteo Luciani was visiting at the Italy's Ministry of the Economy and Finance, Department of the Treasury, Economic and Financial Analysis and Planning Directorate. The hospitality of both institutions is gratefully acknowledged. Matteo Luciani acknowledges financial support from the Belgian National Bank and the IAP P6/07 contract, from the IAP programme (Belgian Scientific Policy), ‘Economic policy and finance in the global economy’. Matteo Luciani is chargé de recherches F.R.S.-FNRS and gratefully acknowledges their financial support. The views here expressed are those of the authors and do not necessarily reflect those of the Bank of Italy or the Eurosystem.
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?†
Version of Record online: 23 JUN 2013
© 2013 The Department of Economics, University of Oxford and John Wiley & Sons Ltd.
Oxford Bulletin of Economics and Statistics
Volume 76, Issue 5, pages 693–714, October 2014
How to Cite
Barigozzi, M., Conti, A. M. and Luciani, M. (2014), Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?. Oxford Bulletin of Economics and Statistics, 76: 693–714. doi: 10.1111/obes.12038
- Issue online: 26 AUG 2014
- Version of Record online: 23 JUN 2013
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 find that differences still remain between North and South Europe in terms of prices and unemployment. These results are the consequence of country-specific structures, rather than of European Central Bank policies.