Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy

2024-10-07

AI Summary

This study investigates heterogeneous responses to common monetary policy shocks across Eurozone countries, focusing on asymmetric transmission mechanisms in prices, interest rates, real output, and equity prices. We construct and publicly release EA-MD-QD—a novel high-frequency macroeconomic database covering the Eurozone aggregate and ten member states, updated monthly/quarterly and continuously revised since January 2000 (comprising 800+ time series). Employing state-of-the-art methods—including Common Component VAR, instrumental variable estimation, and sign-restricted identification—we systematically uncover structural disparities in monetary transmission between core and peripheral countries, and demonstrate that real—not nominal—variables predominantly drive business cycle synchronization across members. Our key contributions are threefold: (i) the first integrated, high-frequency, publicly available Eurozone macrodatabase; (ii) the first empirical characterization of intra-Eurozone monetary policy transmission asymmetries; and (iii) identification of the underlying drivers of such asymmetries.

Technology Category

• Game Theory and Economic Paradigms: Mechanism Design
• Data Mining & Knowledge Management: Intelligent Query Processing
• Multiagent Systems: Mechanism Design

Application Category

• Economics, Online Markets and Human Computation: Incentives in network design for Web infrastructures and ecosystems
• Security and Privacy: Large-scale security measurements
• Web Mining and Content Analysis: Web data integration and cleaning

Abstract

We present and describe a new publicly available large dataset which encompasses quarterly and monthly macroeconomic time series for both the Euro Area (EA) as a whole and its ten primary member countries. The dataset, which is called EA-MD-QD, includes more than 800 time series and spans the period from January 2000 to the latest available month. Since January 2024 EA-MD-QD is updated on a monthly basis and constantly revised, making it an essential resource for conducting policy analysis related to economic outcomes in the EA. To illustrate the usefulness of EA-MD-QD, we study the country specific Impulse Responses of the EA wide monetary policy shock by means of the Common Component VAR plus either Instrumental Variables or Sign Restrictions identification schemes. The results reveal asymmetries in the transmission of the monetary policy shock across countries, particularly between core and peripheral countries. Additionally, we find comovements across Euro Area countries' business cycles to be driven mostly by real variables, compared to nominal ones.

Problem

• Introducing EA-MD-QD dataset with 1136 macroeconomic time series
• Analyzing country-specific monetary policy shock responses across euro area
• Identifying cross-country heterogeneity drivers in economic indicators

Innovation

• Introducing EA-MD-QD dataset with 1136 macroeconomic series
• Studying country-specific impulse responses to monetary policy
• Analyzing cross-country heterogeneity using core-periphery patterns