一种政策利率，多种立场：来自欧洲货币联盟的证据

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online) One Policy Rate, Many Stances: Evidence from the EuropeanMonetary Union Manuel Gonz´alez-Astudillo, Diego Vil´an 2025-087 Please cite this paper as:Gonz´alez-Astudillo, Manuel, and Diego Vil´an (2025).“One Policy Rate, Many Stances:Evidencefrom the European Monetary Union,”Finance and Economics DiscussionSeries2025-087.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2025.087. NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers. One Policy Rate, Many Stances:Evidence from the European Monetary Union Manuel Gonz´alez-Astudillo†1,2and Diego Vil´an‡1 1Federal Reserve Board, Washington, D.C., USA2Escuela Superior Polit´ecnica del Litoral, ESPOL, Guayaquil, Ecuador September 1, 2025 Abstract A challenge for conducting monetary policy in a currency union is the diverseeconomic conditions among member states. Such disparities can drive natural interestrates apart, thereby undermining the stabilizing role of a unified monetary policy. Toassess the stance of monetary policy across Eurozone-19 countries, we estimate theirnatural rates of interest (r∗) and inflation trends (π∗) to construct a measure of thecountry-level neutral nominal interest rates (r∗+π∗) over 1999-2025, using a semi-structural model that jointly characterizes the trend and cyclical components of keymacroeconomic variables such as output, unemployment, inflation, 10-year governmentbond yields, and the common policy interest rate. Our setup improves upon those inthe existing literature by allowing both a short-run interest rate gap—driven by the(shadow) policy rate—and a long-run interest rate gap—driven by the country-specific10-year government bond yields—to affect and reflect economic conditions.We alsoimpose cointegration between the dynamics of the country-specific latent variables andcommon counterparts to incorporate co-movements across the euro area economies.Our results show that the stance of monetary policy is homogeneous across the countriesin our sample, but that a relatively highly degree of heterogeneity emerges at keyhistorical turning points. Keywords:Common monetary policy challenges, Euro area economies, Interest rategap, Neutral interest rate, Sovereign debt risk.JEL Classification Numbers:C32, E32, E42, E52. 1Introduction In a currency union, monetary policy is centrally managed by a single monetary author-ity, such as the European Central Bank (ECB) in the Eurozone, whose primary mandateis to set monetary policy to maintain price stability for the union as a whole.1.However,successfully implementing monetary policy in such a context can be especially challenging.For instance, the monetary authority may set interest rates based on aggregate economicindicators that may not be consistent with the needs of individual countries due to the di-vergence in economic conditions among member states and their inability to adjust nationalexchange rates. As a result, some member states may find monetary policy either too restric-tive or too accommodative, potentially leading to imbalances in inflation, output growth,and employment. Moreover, the effectiveness of a common policy instrument could also befurther hindered by asymmetric shocks (e.g. demographic or about fiscal sustainability) orstructures (e.g. functioning of financial markets or industry composition). This paper assesses the monetary policy stances in 19 euro area countries over the period1999-2025, considering the implications of a single ECB monetary policy for economies withdiverse economic conditions.To achieve that goal, we estimate the level of the neutralnominal interest rate for each country—defined as the sum of the natural interest rate (r∗)and trend inflation (π∗)—and contrast it with the ECB’s main refinancing operations interestrate (the policy rate hereafter). If the policy rate is above the neutral nominal interest rate ofa particular country, the monetary policy stance is deemed to be restrictive for that country,and vice versa. Despite having a symmetric 2 percent euro-wide inflation target, and even if inflationexpectations were well anchored at that level across euro area members, differences in the magnitudes ofr∗would mean differences in the levels of the neutral nominal interest rateacross countries and, hence, in the monetary policy stance prevalent in each country. Thesedifferences inr∗can arise from disparities in its determinants across countries, such asproduct