Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy
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arXiv
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| Format: | Preprint |
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2024
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| author | Barigozzi, Matteo Lissona, Claudio Tonni, Lorenzo |
| author_facet | Barigozzi, Matteo Lissona, Claudio Tonni, Lorenzo |
| contents | We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA-MD-QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA. Using EA-MD-QD, we study country-specific impulse responses to an EA-wide monetary policy shock. Results reveal moderate yet significant cross-country heterogeneity, with a core-periphery pattern in prices and interest rates and meaningful differences in real activity, while stock price responses are relatively homogeneous. Evidence points to homeownership and saving behavior as potential drivers of the observed cross-country differences. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2410_05082 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy Barigozzi, Matteo Lissona, Claudio Tonni, Lorenzo Econometrics We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA-MD-QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA. Using EA-MD-QD, we study country-specific impulse responses to an EA-wide monetary policy shock. Results reveal moderate yet significant cross-country heterogeneity, with a core-periphery pattern in prices and interest rates and meaningful differences in real activity, while stock price responses are relatively homogeneous. Evidence points to homeownership and saving behavior as potential drivers of the observed cross-country differences. |
| title | Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy |
| topic | Econometrics |
| url | https://arxiv.org/abs/2410.05082 |