Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129930
Authors: 
Mandler, Martin
Scharnagl, Michael
Volz, Ute
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 03/2016
Abstract: 
We study cross-country differences in monetary policy transmission across the large four euro-area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country differences in impulse responses as well as on a battery of other tests, we find real output to respond less negatively in Spain to monetary policy tightening than in the other three countries, while the decline in the price level is weaker in Germany. Bond yields rise more strongly and more persistently in France and Germany than in Italy and Spain.
Subjects: 
monetary policy
transmission mechanism
euro area
Bayesian vector autoregression
JEL: 
C11
C54
E52
ISBN: 
978-3-95729-232-2
Document Type: 
Working Paper

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