Template-Type: ReDIF-Paper 1.0
Author-Name: Sona Benecka
Author-X-Name-First: Sona
Author-X-Name-Last: Benecka
Author-Workplace-Name: Ceska Narodni Banka 
Author-Name: Ludmila Fadejeva
Author-X-Name-First: Ludmila
Author-X-Name-Last: Fadejeva
Author-Workplace-Name: Bank of Latvia
Author-Name: Martin Feldkircher
Author-X-Name-First: Martin
Author-X-Name-Last: Feldkircher
Author-Workplace-Name: Oesterreichische Nationalbank
Title: Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe
Abstract: This paper investigates the international effects of a euro area monetary policy shock, focusing on countries from Central, Eastern, and Southeastern Europe (CESEE). To that end, we use a global vector autoregressive (GVAR) model and employ shadow rates as a proxy for the monetary policy stance during normal and zero-lower-bound periods. We propose a new way of modelling euro area countries in a multi-country framework, accounting for joint monetary policy, and a novel approach to simultaneously identifying shocks. Our results show that in most euro area and CESEE countries prices adjust and output falls in response to a euro area monetary tightening, but with a substantial degree of heterogeneity. 
Creation-Date: 2018-10-18
File-URL: https://www.bank.lv/images/stories/pielikumi/publikacijas/petijumi/wp_4-2018_en.pdf
File-Format: Application/pdf
File-URL: https://www.macroeconomics.lv/sites/default/files/2018-10/spillovers%20from%20euro%20area%20monetary%20policy%20wp_4-2018_en.pdf
File-Format: Application/pdf
Number: 2018/04
Classification-JEL: C32, F44, E32, O54
Keywords: euro area monetary policy, global vector autoregression, spillovers
X-File-Ref: https://repec.bank.lv/refs/wpaper201804.txt
Handle: RePEc:ltv:wpaper:201804