scholarly journals Corrigendum to " Delphic and odyssean monetary policy shocks: Evidence from the euro area" [Journal of Monetary Economics 117 (2021) 816-832]

Philippe Andrade ◽  
Filippo Ferroni
2020 ◽  
Vol 0 (0) ◽  
Arina Wischnewsky ◽  
Matthias Neuenkirch

AbstractWe provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks’ total asset growth and their risk assets ratio. Our dataset covers the period 2000Q1–2018Q3 and includes, in addition to the standard variables for real GDP growth, inflation, and the monetary policy stance, the aforementioned two indicators for the shadow banking sector. Based on vector autoregressive models for the euro area as a whole, we find a portfolio reallocation effect towards riskier assets and evidence for a general expansion of assets. Both effects last for roughly six quarters in the case of conventional monetary policy shocks, whereas for unconventional monetary policy shocks the responses are significant for two quarters only. Country-specific as well as sector-specific estimations confirm these findings for most of the euro area countries and all non-bank types, but also reveal some heterogeneity in the reaction of financial institutions.

2019 ◽  
Vol 66 (3) ◽  
pp. 307-324
Elena Bárcena-Martín ◽  
Natalia Martín-Fuentes ◽  
Salvador Pérez-Moreno

This paper examines the impacts of monetary policy shocks on income mobility in the Euro area, relying on earnings heterogeneity and income composition channels through which monetary policy affects income distribution. From a relative mobility perspective, upward and downward mobility are estimated over the period 2004-2014 for the EMU countries that originated the Economic and Monetary Union (EMU 1999). By using a vector error correction model (VECM) approach, overall we find that an expansionary monetary policy seems to encourage upward mobility and discourage downward mobility. By income groups, a loose monetary policy appears to reduce downward mobility for the upper class, while no empirical evidence can be provided to support that monetary policy shocks alter upward mobility for the lower class. Monetary policy shocks are especially favourable for the middle class as an expansionary monetary policy seems to boost upward mobility. A detailed analysis of the middle class shows that an expansionary monetary policy may propel the upward mobility and hinder the downward mobility of the lower-middle class, particularly favouring this income group.

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