Abstract
AbstractWe estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 1999–2015. In contrast to other classes of nonlinear vector autoregressive models, regime affiliation is neither strictly binary, nor binary with a transition period, and based on multiple variables. We show that monetary policy transmission in the euro area can be described as a mixture of two states. In both states, output and prices are found to decrease after contractionary monetary policy shocks. However, the effects of monetary policy are less enduring in the “crisis state.”
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
