Erschienen in:
Journal of Money, Credit and Banking, 54 (2022) 2-3, Seite 627-649
Sprache:
Englisch
DOI:
10.1111/jmcb.12859
ISSN:
0022-2879;
1538-4616
Entstehung:
Anmerkungen:
Beschreibung:
AbstractWe study cross‐country differences in monetary policy transmission across the largest euro area economies (France, Germany, Italy, and Spain) using a large Bayesian vector autoregressive (BVAR) model with endogenous prior selection. Drawing on the posterior distributions of the cross‐country differences in impulse responses and on other tests, we find real output and the money supply to respond more strongly in Germany to monetary policy than in the other countries. Whereas, the price level response is strongest in Spain and weakest in Germany. Longer‐term interest rates react more strongly in Germany and France than in Italy and Spain.