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, Giancarloca
• dc.contributor.author Duarte, Joao B.ca
• dc.contributor.author Mann, Samuelca
• dc.date.accessioned 2018-04-25T11:02:32Z
• dc.date.available 2018-04-25T11:02:32Z
• dc.date.issued 2018-03
• 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.ca
• 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/pdfca
• dc.identifier.uri http://hdl.handle.net/10230/34459
• dc.language.iso engca
• dc.relation.ispartofseries ADEMU Working Paper Series;87
• dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/649396
• 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.ca
• dc.rights.accessRights info:eu-repo/semantics/openAccessca
• dc.rights.uri https://creativecommons.org/licenses/by/4.0/ca
• dc.subject.keyword Monetary policyen
• dc.subject.keyword High-frequency identificationen
• dc.subject.keyword Monetary unionen
• dc.subject.keyword Labour marketen
• dc.subject.keyword Housing marketen
• dc.title One money, many markets: a factor model approach to monetary policy in the euro area with high-frequency identificationca
• dc.type info:eu-repo/semantics/workingPaperca