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State‐Dependent Transmission of Monetary Policy in the Euro Area
Author(s) -
BURGARD JAN PABLO,
NEUENKIRCH MATTHIAS,
NÖCKEL MATTHIAS
Publication year - 2019
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12592
Subject(s) - autoregressive model , monetary policy , economics , monetary economics , transmission (telecommunications) , state (computer science) , binary number , logit , econometrics , mathematics , computer science , telecommunications , arithmetic , algorithm
We 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.”