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Monetary Policy Shocks in the Euro Area: A New Measure Using EONIA and ESTER
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Orientador(es)
Resumo(s)
This study investigates the macroeconomic effects of monetary policy surprises in the
Euro Area 20 (EA20), a topic studied less extensively than in the United States. We
construct a measure of monetary policy surprises via a high-frequency identification
strategy adapted for daily EONIA/ESTER data surrounding European Central Bank
(ECB) policy announcements. To isolate exogenous policy innovations, these surprises
are subsequently orthogonalized using preannouncement macroeconomic and financial information. The dynamic responses of EA20 GDP and HICP inflation to these
orthogonalized shocks are then estimated using Local Projections. Our findings indicate that monetary policy surprises do not have a statistically significant effect on EA20
GDP growth. However, we find that a contractionary surprise leads to a statistically
significant decrease in HICP inflation, an effect that materializes after approximately
20 months.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
Palavras-chave
Monetary Policy Surprises Monetary Policy Shocks Euro Area High Frequency Identification Local Projections Impulse Response Functions ECB (European Central Bank) SDG 8 - Decent work and economic growth SDG 16 - Peace, justice and strong institutions