<p>Effective monetary policy and adequate risk sharing mechanisms are essential for ensuring macroeconomic stability and consumption smoothing across member states of a monetary union. This paper reveals a significant and positive link between them for a sample of Euro Area countries over the period 2002–2019. In particular, we use quarterly data to measure the extent of inter-country risk sharing before interacting it with a contractionary monetary shock. High risk sharing significantly amplifies the effects of the monetary shock on real output and prices. For output, the effect emerges immediately after the shock but dies out about two years later, while in the case of prices it appears with a delay but remains persistent over the horizon. These patterns are similar across the three channels of risk sharing, although the effect is strongest for the factor market, followed by the fiscal system.</p>