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Estimating country weights in the ECB’s monetary policy setting
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Orientador(es)
Resumo(s)
We unveil the implicit countryweights in the ECB’s monetary policy conduct across a sample
of 12 Eurozone member-states. Using linear and non-linear Taylor rules, as well as observed
and simulated data, we produce counterfactual interest rate paths to assess the differential
between observed interest rates and those assumed to have prevailed under autonomy. Then,
the estimated weights are compared with the correlation of countries’ business cycles and
aggregate disturbances overtime. Results show that Germany and Luxembourg persistently
receive the biggest weight, while Greece and Ireland secure the smallest. Finally, findings
also indicate that countries with a smaller weight are those least correlated with Germany.
Descrição
Palavras-chave
Taylor rule Counterfactual interest rates Monetary weights Aggregate supply and demand shocks