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

Author

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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).

Suggested Citation

  • Matteo Ciccarelli & Alessandro Rebucci, 2001. "The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is It Changing Over Time?," Working Papers 0115, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:0115
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    Cited by:

    1. Monteforte, Libero, 2007. "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, vol. 24(2), pages 236-261, March.
    2. Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012. "Time Varying Dimension Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
    3. Alessandro Rebucci, 2003. "Measuring Contagion With A Bayesian Time-Varying Coefficient Model," Working Papers. Serie AD 2003-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Ester Faia, 2007. "Financial Differences and Business Cycle Co-Movements in a Currency Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 151-185, February.
    5. Matteo Ciccarelli & Alessandro Rebucci, 2003. "Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System," IMF Working Papers 03/102, International Monetary Fund.
    6. 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.
    7. 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.
    8. Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 92, European Central Bank.
    9. Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 91, European Central Bank.
    10. 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.

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