arXiv 8 Oct 2024 · Econometrics · 3 citations (OpenAlex)
arXiv:2410.05741 · PDF · DOI · OpenAlex · Extracted main text
We use a FAVAR model with proxy variables and sign restrictions to investigate the role of the euro area's common output and inflation cycles in the transmission of monetary policy shocks. Our findings indicate that common cycles explain most of the variation in output and inflation across member countries. However, Southern European economies exhibit a notable divergence from these cycles in the aftermath of the financial crisis. Building on this evidence, we demonstrate that monetary policy is homogeneously propagated to member countries via the common cycles. In contrast, country-specific transmission channels lead to heterogeneous country responses to monetary policy shocks. Consequently, our empirical results suggest that the divergent effects of ECB monetary policy are attributable to heterogeneous country-specific exposures to financial markets, rather than to dis-synchronized economies within the euro area.
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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 | ggs23 APACrefauthors Geiger, M. , Gründler, D. \ Scharler, J. APACre… (2023) 2023 | 1.000 | 7 | 3 | 100% |
| 2 | bb23 APACrefauthors Braun, R. \ Bruggemann, R. APACrefauthors \ (2023) 2023 | 1.000 | 6 | 3 | 100% |
| 3 | bbh23 APACrefauthors Banbura, M. , Bobeica, E. \ Hernandez, C M. APA… (2023) 2023 | 1.000 | 5 | 4 | 100% |
| 4 | b21 APACrefauthors Beck, K. APACrefauthors \ (2021) 2021 | 1.000 | 5 | 3 | 100% |
| 5 | do07 APACrefauthors Del Negro, M. \ Otrok, C. APACrefauthors \ (1962) 2007 | 1.000 | 5 | 3 | 100% |
| 6 | abgmr19 APACrefauthors Altavilla, C. , Brugnolini, L. , Gürkaynak, R… (2019) 2019 | 0.941 | 6 | 3 | 83% |
| 7 | h24 APACrefauthors Hou, C. APACrefauthors \ (2024) 2024 | 0.903 | 19 | 6 | 74% |
| 8 | jk20 APACrefauthors Jarocinski, M. \ Karadi, P. APACrefauthors \ (2020) 2020 | 0.902 | 15 | 4 | 73% |
| 9 | j22 APACrefauthors Jarocinski, M. APACrefauthors \ (2022) 2022 | 0.888 | 10 | 6 | 70% |
| 10 | cdm22 APACrefauthors Corsetti, G. , Duarte, J B. \ Mann, S. APACrefa… (2022) 2022 | 0.874 | 10 | 2 | 100% |
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