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One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area
Author:
Giancarlo Corsetti null

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Joao B. Duarte null

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Samuel Mann null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 108
Language:
English
Publication Date:
26 Jun 2020
DOI:
https://doi.org/10.5089/9781513548746.001
ISBN:
9781513548746
ISSN:
1018-5941
Pages:
63
Keywords:
WP; coefficient of variation; nominal exchange rate
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity, which we find to be low in financial variables and output, but significant in consumption, consumer prices, and variables related to local housing and labor markets. Building a small open economy model featuring a housing sector and calibrating it to Spain, we show that varying the share of adjustable-rate mortgages and loan-to-value ratios explains up to one-third of the cross-country heterogeneity in the responses of output and private consumption.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund