Matteo Barigozzi, Claudio Lissona, Lorenzo Tonni
arXiv 7 Oct 2024 · Econometrics
arXiv:2410.05082 · PDF · DOI · OpenAlex · Extracted main text
We present and describe a new publicly available large dataset which encompasses quarterly and monthly macroeconomic time series for both the Euro Area (EA) as a whole and its ten primary member countries. The dataset, which is called EA-MD-QD, includes more than 800 time series and spans the period from January 2000 to the latest available month. Since January 2024 EA-MD-QD is updated on a monthly basis and constantly revised, making it an essential resource for conducting policy analysis related to economic outcomes in the EA. To illustrate the usefulness of EA-MD-QD, we study the country specific Impulse Responses of the EA wide monetary policy shock by means of the Common Component VAR plus either Instrumental Variables or Sign Restrictions identification schemes. The results reveal asymmetries in the transmission of the monetary policy shock across countries, particularly between core and peripheral countries. Additionally, we find comovements across Euro Area countries' business cycles to be driven mostly by real variables, compared to nominal ones.
appendix boundary found by appendix_command · 48% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Corsetti, Giancarlo and Duarte, Joao B and Mann, Samuel (2022) One money, many markets | 1.000 | 8 | 3 | 100% |
| 2 | Altavilla, Carlo and Brugnolini, Luca and Gürkaynak, Refet S and Mot… (2019) Measuring euro area monetary policy | 1.000 | 5 | 4 | 100% |
| 3 | Jarociński, Marek and Karadi, Peter (2020) Deconstructing monetary policy surprises—the role of information shocks | 0.941 | 6 | 4 | 83% |
| 4 | Barigozzi, Matteo and Conti, Antonio M and Luciani, Matteo (2014) Do euro area countries respond asymmetrically to the common monetary policy? self | 0.928 | 5 | 3 | 80% |
| 5 | Andrade, Philippe and Ferroni, Filippo (2021) Delphic and odyssean monetary policy shocks: Evidence from the euro area | 0.928 | 4 | 4 | 100% |
| 6 | McCracken, Michael and Ng, Serena (2020) FRED-QD: A Quarterly Database for Macroeconomic Research | 0.928 | 4 | 3 | 100% |
| 7 | Onatski, Alexei (2010) Determining the number of factors from empirical distribution of eigenvalues | 0.843 | 4 | 3 | 75% |
| 8 | Forni, Mario and Gambetti, Luca and Lippi, Marco and Sala, Luca (2025) Common components structural VARs | 0.811 | 4 | 2 | 100% |
| 9 | Gertler, Mark and Karadi, Peter (2015) Monetary policy surprises, credit costs, and economic activity | 0.811 | 4 | 2 | 100% |
| 10 | McCracken, Michael W. and Ng, Serena (2016) FRED-MD: A Monthly Database for Macroeconomic Research | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 63 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.