[go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

One Money, Many Markets - A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification

Giancarlo Corsetti, Joao Duarte and Samuel Mann

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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 financial 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.

Keywords: Monetary Policy; High-Frequency Identification; Monetary Union; Labour Market; Housing Market. (search for similar items in EconPapers)
JEL-codes: E21 E31 E44 E52 F44 F45 (search for similar items in EconPapers)
Date: 2018-02-22
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon, nep-opm and nep-ure
Note: gc422, jbnad2, sm959
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1816.pdf

Related works:
Working Paper: One money, many markets: a factor model approach to monetary policy in the Euro Area with high-frequency identification (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1816

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer ().

 
Page updated 2024-12-21
Handle: RePEc:cam:camdae:1816