One Money, Many Markets * A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification

We reconsider the effects of common monetary policy shocks across countries in the euro area, a data-rich factor model and identifying shocks with high-frequency surprises around policy. We show that the degree of heterogeneity in the response to shocks, while being in ₙancial variables and output, is significant in consumption, consumer prices and macro related to the labour and housing markets. Mirroring country-specific institutional and differences, we find that home ownership rates are significantly correlated with the of the housing channel in monetary policy transmission. We document a high dispersion the response to shocks of house prices and rents and show that, similar to responses in the, these variables tend to move in different directions.