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Aggregate and country-specific analysis to Eurozone monetary shock using a factor augmented VAR approach
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This study aims to analyse the impact of monetary shocks, both on the aggregate euro area as a whole and also at the country level. We estimate a dynamic factor model that summarises the information in a large data set with few estimated factors, subsequently incorporated in a recursive VAR. We find that (i) when compared with the VAR model, the FAVAR better identified the shock, mainly after the 2008 crises; (ii) the monetary policy seems to have lost impact over the economy in recent years; (iii) across countries, the results reveal mixed reactions, being the larger economies the ones that predominantly benefited from the monetary policy.
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Factor augmented vector autoregressive Impulse response functions Eurozone monetary shock Principal components.