Themenplattform "Europäische Integration und globale Governance"
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Macroeconomic effects of monetary policy shocks in the euro area and of the exit from the zero interest rate environment
Abgeschlossene Forschungsprojekte
Mit finanzieller Unterstützung von: Jubiläumsfonds der Oesterreichischen Nationalbank
Studie von: Österreichisches Institut für Wirtschaftsforschung
Abgeschlossen: 2022
Current research on US monetary policy shocks has improved identification of these shocks considerably. Research on euro area
monetary policy has not yet incorporated these methodological advancements; identification is either weak or based on strong
assumptions. We adopt the new approaches and sharpen inference on the macroeconomic and financial market effects of ECB monetary
policy. In a first step, vector autoregressive models are estimated with Bayesian methods and monetary policy shocks are identified
by means of sign restrictions. In a next step, identification is strengthened along two recently proposed dimensions: first,
by applying sign restrictions also to the systematic component of monetary policy (Arias et al., 2016) and secondly, by exploiting
narrative information on large reduced-form residuals (Antolin-Diaz & Rubio-Ramirez, 2016). We will not only estimate models
for the euro area as a whole, but also for small euro area countries, including Austria. By employing a block exogenous framework,
we duly take into account the specificity of the euro area as a monetary union of sovereign countries. We will not only present
sample-averaged results by means of impulse response analysis and forecast error variance decompositions, but we will focus
in particular on time series ("historical") decompositions. We will also apply them to new data in order to quantify in a
timely manner the effects of the exit from the zero interest rate environment, which is to be expected over the project horizon.
Forschungsbereich:Makroökonomie und öffentliche Finanzen
Sprache:Englisch