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Monetary Transmission Mechanism and Time Variation in the Euro Area

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  • Kemal Bagzibagli

Abstract

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic time series spanning the period 1999: M1 through 2011: M12 is gathered for the euro area as an aggregate. Second, Bayesian joint estimation technique of FAVARs is applied to the European data. Third, time variation in the transmission mechanism and the impact of the global financial crisis is investigated in the FAVAR context using a rolling windows technique. Fourth, we tried to contribute to the question of whether more data are always better for factor analysis as well as the estimation of structural FAVAR models. We find that there are considerable gains from the implementation of the Bayesian technique such as smoother impulse response functions and statistical significance of the estimates. According to our rolling estimations, consumer prices and monetary aggregates display the most time variant responses to the monetary policy shocks. The pre-screening technique considered, elimination of almost half of the dataset seems to do no worse, and in some cases, better in a structural context.

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  • Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
  • Handle: RePEc:bir:birmec:12-12
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    Cited by:

    1. Anastasios Evgenidis & Dionisis Philippas & Costas Siriopoulos, 2019. "Heterogeneous effects in the international transmission of the US monetary policy: a factor-augmented VAR perspective," Empirical Economics, Springer, vol. 56(5), pages 1549-1579, May.
    2. Klaus Abberger & Michael Graff & Oliver Müller & Boriss Siliverstovs, 2022. "Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data," CESifo Working Paper Series 10191, CESifo.
    3. Shazia Sana & Shahnawaz Malik & Muhammad Ramzan Sheikh, 2022. "Investigating The Effectiveness Of Channels Of Monetary Transmission Mechanism In Pakistan: An Application Of Var Model, Impulse Response Function And Variance Decomposition," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(2), pages 160-184, June.
    4. Famoroti Jonathan Olusegun & Adeleke Omolade, 2022. "Impact of monetary policy transmission mechanism in West African countries," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 32(1), pages 20-42, March.
    5. Serati, Massimiliano & Venegoni, Andrea, 2019. "The cross-country impact of ECB policies: Asymmetries in – Asymmetries out?," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 118-141.
    6. Olli-Matti Juhani Laine, 2020. "The effect of the ECB’s conventional monetary policy on the real economy: FAVAR-approach," Empirical Economics, Springer, vol. 59(6), pages 2899-2924, December.
    7. Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53.

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    More about this item

    Keywords

    Monetary Policy Shocks; FAVAR; Bayesian Methods; Rolling Windows; Euro Area;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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