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One money, many markets: a factor model approach to monetary policy in the euro area with high-frequency identification

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dc.contributor.author Corsetti, Giancarlo
dc.contributor.author Duarte, Joao B.
dc.contributor.author Mann, Samuel
dc.date.accessioned 2018-04-25T11:02:32Z
dc.date.available 2018-04-25T11:02:32Z
dc.date.issued 2018-03
dc.identifier.uri http://hdl.handle.net/10230/34459
dc.description.abstract We reconsider the effects of common monetary policy shocks across countries in the euro area, using a data-rich factor model and identifying shocks with high-frequency surprises around policy announcements. We show that the degree of heterogeneity in the response to shocks, while being low in _nancial variables and output, is significant in consumption, consumer prices and macro variables related to the labour and housing markets. Mirroring country-specific institutional and market differences, we find that home ownership rates are significantly correlated with the strength of the housing channel in monetary policy transmission. We document a high dispersion in the response to shocks of house prices and rents and show that, similar to responses in the US, these variables tend to move in different directions.
dc.description.sponsorship The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries ADEMU Working Paper Series;87
dc.rights This is an Open Access article distributed under the terms of the Creative Commons Attribution License Creative Commons Attribution 4.0 International, which permits unrestricted use, distribution and reproduction in any medium provided that the original work is properlyattributed.
dc.rights.uri https://creativecommons.org/licenses/by/4.0/
dc.title One money, many markets: a factor model approach to monetary policy in the euro area with high-frequency identification
dc.type info:eu-repo/semantics/workingPaper
dc.subject.keyword Monetary policy
dc.subject.keyword High-frequency identification
dc.subject.keyword Monetary union
dc.subject.keyword Labour market
dc.subject.keyword Housing market
dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/649396
dc.rights.accessRights info:eu-repo/semantics/openAccess

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