The industry effects of monetary policy in Spain

Abstract

The aim of this paper is to analyze the presence of sectoral asymmetries in monetary policy transmission in Spain in the period prior to the introduction of the single monetary policy in Europe (1988-1998). Monetary policy shocks are identified both through a standard vector auto-regression model (VAR-shock) and the specification of a reaction function (RF-shock) for the monetary authority in Spain. The responses of the different industrial branches with regard to the estimated monetary shocks are then analyzed at national accounting sector and sub-sector levels. Our results confirm the presence of significant differences in the sectoral responses with respect to national monetary shocks in Spain. In addition, the sectoral asymmetries found in our study show a strong correlation with regard to the regional asymmetries found in a previous study (Rodríguez Fuentes et al. 2004)