Does One Size Fit All? The Country-Specific Effects of ECB Monetary Policy by Deborah Gefang

Join us for this weeks Econometrics Research Seminar, Summer Term 2024

Deborah Gefang, from the University of Leicester, will present their research on Does One Size Fit All? The Country-Specific Effects of ECB Monetary Policy.

Abstract

We investigate the way that a change in the ECB’s monetary policy affects the members of the euro area. Our data set consists of sixteen countries and covers the period from 2009 to 2023. We introduce a spatial VAR, which allows us to decouple the direct effects of a policy change from the spillover effects of the change. In contrast to standard spatial models, which use a predetermined spatial matrix, we estimate the spatial matrix endogenously, thus providing increased accuracy. In contrast to previous studies, we find generally symmetric reactions both in terms of the timing and the magnitude of shocks, and in the effects of shocks on the decomposition between direct and indirect (spillover) effects although there are occasional exceptions. We find that the indirect effects (spillover) effects are generally smaller than the direct effects but that in all cases they reinforce the direct effects.

This seminar will be held on campus, is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.