Financial stress and asymmetric shocks transmission within the Eurozone. How fragile is the common monetary policy?

摘要

This study focuses on the financial linkages within the Eurozone as well as on the exposure of Eurozone countries to internal and external shocks. We have found evidence of strong financial inter-dependence among the Eurozone countries, but there is evidence of stronger interdependence among the countries of the same cluster. That is, the major spillover transmitter for South countries is Italy, while North countries are mostly affected by the Netherlands. No matter the type of the shock (i.e. internal or external), the results imply that shocks are not symmetrically distributed within the Eurozone. South countries receive more stress from internal shocks (i.e. debt crisis), while North countries are more exposed to external shocks, such as a potential financial shock in US. The evidence of asymmetric transmission of financial shocks across the Eurozone countries reveals a complex and fragile monetary policy framework.