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The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is It Changing Over Time?

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  • Matteo Ciccarelli

    ()
    (Universidad de Alicante)

  • Alessandro Rebucci

    ()
    (International Monetary Fund)

Abstract

The European Central Bank (ECB) has already moved interest rates several times since it started to operate in January 1999 and yet we don't know what the magnitude and timing of the effects of its actions actually are. What are the effects on prices and output of a change in the common short-term interest rate? How long do these effects take to materialize? Are there differences in the impact across European countries and regions? Are these differences changing over time? We propose to overcome some of these difficulties by rephrasing some of the questions above in the framework of a dynamic heterogenous panel data model recently proposed by Canova and Ciccarelli (2000).

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/01/Fic/dt0115e.pdf
File Function: First version, 2001
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0115.

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Date of creation: 2001
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Handle: RePEc:bde:wpaper:0115

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Cited by:
  1. Zlatina Balabanova & Ralf Brüggemann, 2012. "External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-05, Department of Economics, University of Konstanz.
  2. Helge Berger & Till Mueller, 2007. "How should large and small countries be represented in a currency union?," Public Choice, Springer, vol. 132(3), pages 471-484, September.
  3. Alessandro Rebucci & Matteo Ciccarelli, 2003. "Measuring Contagion with a Bayesian Time-Varying Coefficient Model," IMF Working Papers 03/171, International Monetary Fund.
  4. Libero Monteforte, 2004. "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers) 534, Bank of Italy, Economic Research and International Relations Area.
  5. Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Time Varying Dimension Models," CAMA Working Papers 2011-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research and International Relations Area.
  7. Matteo Ciccarelli & Alessandro Rebucci, 2003. "Bayesian Vars," IMF Working Papers 03/102, International Monetary Fund.

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