A carregar...
Publicação
Monetary policy transmission under financial stress: a panel threshold analysis of North-South divergence in the Euro Area
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.29 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Does ECB monetary policy affect Northern and Southern Europe differently depending on financial conditions? Using Hansen’s (1999) Panel Threshold Model with high-frequency identified shocks from Jarocinski and Karadi (2020) and the Composite Indicator of Systemic ´
Stress as threshold variable, I analyse quarterly data for twelve euro area members (2001Q1– 2019Q4). The central finding is that North-South transmission heterogeneity is state-dependent: during moderate-high financial stress, Southern GDP contracts 2.10 percentage points more
than Northern GDP in response to identical monetary tightening. This asymmetry disappears in other regimes, suggesting the sovereign-bank nexus created regime-specific vulnerabilities with implications for common monetary policy.
Descrição
Palavras-chave
Monetary policy transmission Panel threshold model Financial stress CISS Euro Area North-South heterogeneity