Monetary Policy and Liquidity Constraints: Evidence from the Euro Area
利用局部投影工具变量法，量化欧元区各国货币政策冲击对产出的影响，发现流动性约束家庭占比越高的国家，产出对货币政策的弹性越大。
We quantify the relationship between the response of output to monetary policy shocks and the share of liquidity-constrained households. We do so in the context of the euro area, using a Local Projections Instrumental Variables estimation. We construct an instrument for changes in interest rates from changes in overnight indexed swap rates in a narrow time window around ECB announcements. Monetary policy shocks have heterogeneous effects on output across countries. Using micro data, we show that the elasticity of output to monetary policy shocks is larger in countries that have a larger fraction of households that are liquidity constrained.