Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17872
Authors: 
McCallum, Andrew
Smets, Frank
Year of Publication: 
2007
Series/Report no.: 
Kiel Working Paper 1360
Abstract: 
We use the Factor-Augmented Vector Autoregression (FAVAR) approach of Bernanke, Boivin and Eliasz (2005) to estimate the effects of monetary policy shocks on wages and employment in the euro area. The use of a large data set comprising country, sectoral and euro area-wide data allows us to better identify common monetary policy shocks in the euro area and their effects on labour market outcomes. At the same time the FAVAR approach gives us estimates of how relative wages and employment in the various countries and sectors respond to these common shocks. The ultimate objective of our work is to relate the estimated cross-country differences in wage and employment responses to differences in labour market institutions and sectoral composition.
Subjects: 
VAR
factor models
rigidity
labour market
JEL: 
J3
E4
E3
J6
Document Type: 
Working Paper

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