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

TL;DR

This paper introduces EA-MD-QD, a comprehensive macroeconomic dataset for the euro area, enabling analysis of country-specific responses to monetary policy shocks and revealing notable heterogeneity across countries.

Contribution

The paper presents a new, publicly available macroeconomic dataset for the euro area and its countries, facilitating detailed policy impact analysis and cross-country comparisons.

Findings

Moderate cross-country heterogeneity in responses to monetary shocks

Core-periphery pattern in prices and interest rates

Homogeneous stock price responses across countries

Abstract

We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA-MD-QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA. Using EA-MD-QD, we study country-specific impulse responses to an EA-wide monetary policy shock. Results reveal moderate yet significant cross-country heterogeneity, with a core-periphery pattern in prices and interest rates and meaningful differences in real activity, while stock price responses are relatively homogeneous. Evidence points to homeownership and saving behavior as potential drivers of the observed cross-country differences.