Navigation path

441 - Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model

Author(s): Matteo Barigozzi, Antonio M. Conti, Matteo Luciani

Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Modelpdf(766 kB) Choose translations of the previous link 

Summary for non-specialistspdf(85 kB) Choose translations of the previous link 


We study the effects of euro area common monetary policy by means of a structural dynamic factor model estimated on a large panel of euro area quarterly series. While we estimate a flat response of prices to a monetary policy shock, which we explain as aggregation of heterogeneous country-specific responses, we find no relevant asymmetries between countries in terms of output reaction. However, for both Spain and Italy, we find asymmetries in consumption, investment and unemployment. The introduction of the single currency in 1999 has helped reducing asymmetries in price responses but not in consumption and investment.


(European Economy. Economic Papers 441. March 2011. Brussels. PDF. 40pp. Tab. Graph. Bibliogr. Free.)

KC-AI-11- 441-EN (online)
ISBN 978-92-79-19225-8 (online)
doi: 10.2765/15225 (online)

JEL classification: C32, E41, E52

Economic Papers are written by the staff of the Directorate-General for Economic and Financial Affairs, or by experts working in association with them. The Papers are intended to increase awareness of the technical work being done by staff and to seek comments and suggestions for further analysis. The views expressed are the author’s alone and do not necessarily correspond to those of the European Commission.

Additional tools

  • Print version 
  • Decrease text 
  • Increase text