Heterogeneous effects of the monetary policy in the euro area: A factor-augmented VAR (FAVAR) approach

A research seminar from the Essex Centre for Macro and Financial Econometrics (ECMFE)

  • Wed 15 Jan 20

    14:00 - 16:00

  • Colchester Campus


  • Event speaker

    Dr Miguel Angel Gavilan-Rubio, Lecturer in Economics, University of Essex

  • Event type

    Lectures, talks and seminars
    ECMFE Research Seminar Series

  • Event organiser

    Essex Business School

  • Contact details

    Professor Simon Price

The Essex Centre for Macro and Financial Econometrics (ECMFE) warmly invites you to join Dr Miguel Angel Gavilan-Rubio from the Department of Economics as he presents his paper on the Heterogeneous effects that a common monetary policy has on different economies in a euro area.

Seminar abstract

This paper presents a quantitative assessment of the heterogeneous effects that a common monetary policy shock exerts on different economies in a euro area EA).

To that end, a FAVAR model is used to trace out the effects of an increment of ECB's intervention rate on industrial production, unemployment and harmonised prices in seven countries of the EA.

The results show that the effects of a contractionary monetary shock on the industry are homogeneous across the selected countries, falling after the intervention - except for Greece.

This is a result of the synchronisation of the industrial business cycle and common funding patterns in the sector. However, the unemployment responses are heterogeneous both in size and sign, suggesting that the lack of common European regulatory framework for labour has prevented the integration the labour markets in the EA, and a common framework would improve the synchronisation of the business cycles among the EA countries.

Finally, the effects on prices are heterogeneous in size but not sign, showing a more moderate response than on  production terms and even neutral for some countries.


This research seminar is free to attend. You are warmly encouraged to bring your friends, colleagues and classmates along.

Speaker Bio

Dr Miguel Angel Gavilan-Rubio is a lecturer in the Department of Economics at the University of Essex.

He also was recently awarded his PhD in Economics from the University of Essex previous to this has studied at the Barcelona Graduate School of Economics in 2014 as well as the University of Madrid in 2013.

Miguel had his work published in the Journal of Financial Market Infrastructure.