Monetary Transmission Mechanism and Time Variation in the Euro Area

JEL codes: 
C11, C32, C33, E50
Version Date: 
Nov 2012

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic time series spanning the period 1999:M1 through 2011:M12 is gathered for the euro area as an aggregate.

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