State‐Dependent Transmission of Monetary Policy in the Euro Area
用混合逻辑斯蒂向量自回归模型分析1999-2015年欧元区货币政策传导，发现存在两种状态，紧缩政策在两种状态下均降低产出和价格，但危机状态下效果更短暂。
Abstract We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 1999–2015. In contrast to other classes of nonlinear vector autoregressive models, regime affiliation is neither strictly binary, nor binary with a transition period, and based on multiple variables. We show that monetary policy transmission in the euro area can be described as a mixture of two states. In both states, output and prices are found to decrease after contractionary monetary policy shocks. However, the effects of monetary policy are less enduring in the “crisis state.”