Data for: Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model

Abstract of associated article: I estimate the transmission of a common euro area monetary policy shock across individual euro area economies. To do so, I develop a global VAR model in which all euro area economies are included individually while, at the same time, their common monetary policy is modelled as a function of euro area aggregate output growth and inflation. The results suggest that the transmission of monetary policy across euro area economies displays asymmetries, and that, in line with economic theory, these are driven by differences in economies׳ structural characteristics. In particular, euro area economies in which a higher share of aggregate output is accounted for by sectors servicing interest rate sensitive demand exhibit a stronger transmission of monetary policy to real activity. Similarly, even though the evidence is less conclusive, euro area economies which feature more real wage and/or fewer unemployment rigidities also appear to display a stronger transmission of monetary policy to real activity.

本文摘要：本研究估算欧元区货币政策的冲击在各个欧元区经济体间的传播。为此，本研究构建了一个全球向量自回归模型，该模型将所有欧元区经济体单独纳入其中，同时将共同的货币政策建模为欧元区总体产出增长和通货膨胀的函数。研究结果指出，货币政策在欧元区经济体间的传播呈现出非对称性，并且，与经济理论相符，这种非对称性是由经济体结构特征的不同所驱动的。具体而言，那些总产出中较大比例由对利率敏感的需求服务行业所贡献的欧元区经济体，其货币政策对实际活动的传导作用更强。同样，尽管证据不够充分，那些具有更多实际工资和/或较少失业刚性的欧元区经济体，似乎也显示出更强的货币政策对实际活动的传导作用。