Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe

Soňa Benecká, Ludmila Fadejeva and Martin Feldkircher

No 2018/04, Working Papers from Latvijas Banka

Abstract: This paper investigates the international effects of a euro area monetary policy shock, focusing on countries from Central, Eastern, and Southeastern Europe (CESEE). To that end, we use a global vector autoregressive (GVAR) model and employ shadow rates as a proxy for the monetary policy stance during normal and zero-lower-bound periods. We propose a new way of modelling euro area countries in a multi-country framework, accounting for joint monetary policy, and a novel approach to simultaneously identifying shocks. Our results show that in most euro area and CESEE countries prices adjust and output falls in response to a euro area monetary tightening, but with a substantial degree of heterogeneity.

Keywords: euro area monetary policy; global vector autoregression; spillovers (search for similar items in EconPapers)
JEL-codes: C32 E32 F44 O54 (search for similar items in EconPapers)
Date: 2018-10-18
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Working Paper: Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ltv:wpaper:201804

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