Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/309470 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Applied Econometrics [ISSN:] 1099-1255 [Volume:] 39 [Issue:] 4 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 620-639
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
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.
Subjects: 
Euro area
financial conditions
independent component analysis
monetary policy
panel data
structural VAR
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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