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.相关文章摘要：本文估算了欧元区共同货币政策冲击在各单个欧元区经济体之间的传导效应。为此，本文构建了一个全球向量自回归（global VAR）模型，该模型将所有欧元区经济体以个体形式纳入其中，同时将欧元区共同货币政策建模为欧元区总产出增速与通货膨胀率的函数。研究结果表明，欧元区经济体间的货币政策传导存在非对称性，且这一现象符合经济理论，即该非对称性由各经济体的结构性特征差异所驱动。具体而言，在总产出中，服务于利率敏感型需求的部门占比更高的欧元区经济体，其货币政策对实体经济活动的传导效应更强。类似地，尽管相关证据尚不那么确凿，但实际工资弹性更高或失业刚性更低的欧元区经济体，其货币政策对实体经济活动的传导效应似乎也更强。