Publication details
Cross-Border Spillovers of Monetary Policy: Evidence from Europe
| Authors | |
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| Year of publication | 2026 |
| Type | Special-purpose publication |
| MU Faculty or unit | |
| Citation | |
| Description | This paper studies the international transmission of euro area monetary policy to European Union countries outside the euro area, with a focus on domestic credit dynamics. Using a harmonised quarterly panel dataset and a local projection framework, we estimate the dynamic responses of credit aggregates and selected macroeconomic variables to high-frequency identified ECB monetary policy shocks. The results show that contractionary ECB shocks spill over to non-euro area economies in a statistically significant and economically meaningful way, leading to declines in domestic credit, particularly lending to non-financial corporations. Credit responses are strongest at medium horizons and exhibit pronounced state dependence. During financially stable periods, credit reacts more strongly, while during crises the initial response is weaker but more persistent. House prices respond negatively and persistently, whereas effects on real activity and consumer prices are comparatively modest. Overall, the findings highlight domestic credit as a key channel of cross-border monetary spillovers and underline the importance of financial conditions and macroprudential policy in shaping their transmission. |
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