|
Título:
|
One money, many markets: a factor model approach to monetary policy in the euro area with high-frequency identification
|
|
Autor/a:
|
Corsetti, Giancarlo; Duarte, Joao B.; Mann, Samuel
|
|
Abstract:
|
We reconsider the effects of common monetary policy shocks across countries in the euro area,
using a data-rich factor model and identifying shocks with high-frequency surprises around policy
announcements. We show that the degree of heterogeneity in the response to shocks, while being
low in _nancial variables and output, is significant in consumption, consumer prices and macro
variables related to the labour and housing markets. Mirroring country-specific institutional and
market differences, we find that home ownership rates are significantly correlated with the
strength of the housing channel in monetary policy transmission. We document a high dispersion
in the response to shocks of house prices and rents and show that, similar to responses in the
US, these variables tend to move in different directions. |
|
Abstract:
|
The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396. |
|
Materia(s):
|
-Monetary policy
-High-frequency identification
-Monetary union
-Labour market
-Housing market |
|
Derechos:
|
This is an Open Access article distributed under the terms of the Creative Commons Attribution License Creative Commons Attribution 4.0 International, which permits unrestricted use, distribution and reproduction in any medium provided that the original work is properlyattributed.
https://creativecommons.org/licenses/by/4.0/
|
|
Tipo de documento:
|
Documento de trabajo |
|
Compartir:
|
|
