Publicação
Monetary policy transmission under financial stress: a panel threshold analysis of North-South divergence in the Euro Area
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Rodriguess, Paulo Manuel Marques | |
| dc.contributor.author | Júnior I, Luís João Matsinhe | |
| dc.date.accessioned | 2026-04-13T09:01:45Z | |
| dc.date.available | 2026-04-13T09:01:45Z | |
| dc.date.issued | 2026-01-27 | |
| dc.date.submitted | 2026-01-27 | |
| dc.description.abstract | 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. | eng |
| dc.identifier.tid | 204237270 | |
| dc.identifier.uri | http://hdl.handle.net/10362/202193 | |
| dc.language.iso | eng | |
| dc.relation | UID/ECO/00124/2013 | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Monetary policy transmission | |
| dc.subject | Panel threshold model | |
| dc.subject | Financial stress | |
| dc.subject | CISS | |
| dc.subject | Euro Area | |
| dc.subject | North-South heterogeneity | |
| dc.title | Monetary policy transmission under financial stress: a panel threshold analysis of North-South divergence in the Euro Area | eng |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Economics from the Nova School of Business and Economics |