Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model
使用大型贝叶斯向量自回归模型，研究法国、德国、意大利和西班牙四国货币政策传导的差异，发现德国实际产出和货币供应对货币政策反应更强，而西班牙价格水平反应最强。
Abstract We study cross‐country differences in monetary policy transmission across the largest euro area economies (France, Germany, Italy, and Spain) using a large Bayesian vector autoregressive (BVAR) model with endogenous prior selection. Drawing on the posterior distributions of the cross‐country differences in impulse responses and on other tests, we find real output and the money supply to respond more strongly in Germany to monetary policy than in the other countries. Whereas, the price level response is strongest in Spain and weakest in Germany. Longer‐term interest rates react more strongly in Germany and France than in Italy and Spain.