Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145847
Authors: 
Scharnagl, Michael
Mandler, Martin
Volz, Ute
Year of Publication: 
2016
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Applied Macroeconometrics A01-V1
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 to a monetary policy tightening in Spain than in the other three countries while the price level decline is weaker in Germany. Bond yields rise stronger and more persistently in France and Germany than in Italy and Spain.
JEL: 
C11
C54
E52
Document Type: 
Conference Paper

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