Empirica – Journal of European Economics

Sponsored by the Austrian Economic Association and the Austrian Institute of Economic Research

Empirica publishes empirical and theoretical work on all economic aspects of European Integration. The topics may range from all challenges concerning the deepening of the European Union (Single Market, Lisbon Agenda, EMU) to enlargement and the external relations of the EU (globalisation).

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Cristiana Fiorelli, Alfredo Cartone, Matteo Foglia
Shadow rates and spillovers across the Eurozone: a spatial dynamic panel model
Empirica, 2021, 48(1), pp.223-245, http://www.springer.com/10663
In this paper, we focus on the effect of spillovers in monetary policy in the period 2004-2017. Firstly, we calculate shadow rates that measure the monetary stances for each country analysed. Then, by using the approach of spatial dynamic panel, we account for the presence of potential spillovers in the Eurozone, both in the long and short run, while controlling for the main channels regulating the monetary stances. Results confirm that monetary policy is largely affected by the presence of spillovers due to proximity in the business cycles and this effect should be considered to manage the effects of monetary policy in different European economies.
Research group:Macroeconomics and European Economic Policy
Language:English

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Harald Oberhofer

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