Asymmetric Transmission of Monetary Policy Shocks in the Euro Area: Evidence from a Panel VAR Analysis

This study examines the transmission of monetary policy shocks across euro area economies using a Bayesian Panel Vector Autoregressive (PVAR) framework over the period 2010Q1–2024Q4. The analysis focuses on three country groups—Core, Periphery, and Central and Eastern European (CEE) economies—in order to assess whether monetary policy transmission differs across structurally distinct segments of the monetary union. Monetary policy shocks are identified using high-frequency surprises from the Euro Area Monetary Policy Database (EA-MPD). The results indicate substantial heterogeneity in monetary policy transmission across country groups. Core economies generally exhibit more stable adjustment patterns, whereas Periphery economies tend to display greater sensitivity to monetary disturbances, particularly during periods of financial stress. The CEE economies follow a distinct adjustment path associated with their structural characteristics and ongoing convergence processes. Regime-specific estimations further reveal that transmission mechanisms vary across alternative monetary policy environments, with the strongest statistically supported responses observed during the post-sovereign-debt adjustment period. Overall, the evidence indicates that monetary policy transmission within the euro area remains both structurally asymmetric and regime dependent. The study contributes to the literature by combining externally identified monetary policy shocks, Bayesian PVAR estimation, and regime-specific analysis within a unified empirical framework.