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arXiv · 2609.37168

Are there asymmetries in euro area monetary policy transmission?

Michael Pfarrhofer·Anna Stelzer
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Abstract

We answer the question posed in the title with a nonlinear mixed-frequency vector autoregression, estimated with Bayesian additive regression trees. The model combines monthly macro-financial variables with quarterly bank lending survey data, and identifies the dynamic responses from high-frequency policy surprises. Sign asymmetry dominates; a tightening produces monetary policy transmission mostly in line with the theoretical predictions, whereas easing of any size produces mostly insignificant responses. Peak effects vary with initial conditions, while several common, predefined regime splits do not yield considerable differences in the propagation of the shocks.

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Michael Pfarrhofer, Anna Stelzer. 2026-09-29. Are there asymmetries in euro area monetary policy transmission?. https://arxiv.org/abs/2609.37168

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