Monetary Policy, Information and Country Risk Shocks in the Euro Area
Updated: Jun 12, 2025
[CEPR wp]
with E. Savini and A. Tuteja
This study examines high-frequency market responses to ECB policy announcements, providing instrumental variables to identify four types of monetary policy shocks -- conventional policy, forward guidance, quantitative easing/tightening, and asymmetric country risk -- along with information shocks. Our findings show that non-linear information effects, especially prominent during episodes of acute market stress in euro area crises, are key to resolving puzzles in macroeconomic and financial variable responses reported in studies using high-frequency European data. The IVs obtained by controlling for these effects yield, in a VAR model, dynamic responses to monetary tightenings with contractionary impacts on output and prices.
Świetny artykuł o wpływie polityki pieniężnej i ryzyka na strefę euro. Bardzo ciekawa i przystępna analiza tak złożonego tematu ekonomicznego. https://hankaijurek.pl/
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