In this paper, we focus on the effect of spillovers in monetary policy in the period 2004–2017. Firstly, we calculate shadow rates that measure the monetary stances for each country analysed. Then, by using the approach of spatial dynamic panel, we account for the presence of potential spillovers in the Eurozone, both in the long and short run, while controlling for the main channels regulating the monetary stances. Results confirm that monetary policy is largely affected by the presence of spillovers due to proximity in the business cycles and this effect should be considered to manage the effects of monetary policy in different European economies.

Shadow rates and spillovers across the Eurozone: a spatial dynamic panel model / Fiorelli, C.; Cartone, A.; Foglia, M.. - In: EMPIRICA. - ISSN 0340-8744. - 48:1(2021), pp. 223-245. [10.1007/s10663-020-09483-5]

Shadow rates and spillovers across the Eurozone: a spatial dynamic panel model

Fiorelli C.
;
2021

Abstract

In this paper, we focus on the effect of spillovers in monetary policy in the period 2004–2017. Firstly, we calculate shadow rates that measure the monetary stances for each country analysed. Then, by using the approach of spatial dynamic panel, we account for the presence of potential spillovers in the Eurozone, both in the long and short run, while controlling for the main channels regulating the monetary stances. Results confirm that monetary policy is largely affected by the presence of spillovers due to proximity in the business cycles and this effect should be considered to manage the effects of monetary policy in different European economies.
2021
shadow rate; spatial panel; spatial dependence; susiness cycle
01 Pubblicazione su rivista::01a Articolo in rivista
Shadow rates and spillovers across the Eurozone: a spatial dynamic panel model / Fiorelli, C.; Cartone, A.; Foglia, M.. - In: EMPIRICA. - ISSN 0340-8744. - 48:1(2021), pp. 223-245. [10.1007/s10663-020-09483-5]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1676786
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