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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Journal of Applied Econometrics [ISSN:] 1099-1255 [Volume:] 39 [Issue:] 4 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 620-639
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled level. We demonstrate robustness of the method under cross‐sectional correlation and heterogeneity through simulation experiments. In an empirical application on monetary policy transmission in the Euro area, we find that bond spreads rise significantly after an unexpected monetary tightening. Furthermore, the central bank responds to offset effects of adverse financial shocks. Additionally, we document sizable heterogeneity in country‐specific output responses.
Schlagwörter: 
Euro area
financial conditions
independent component analysis
monetary policy
panel data
structural VAR
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