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In Search of Monetary Policy Measures: The Case of Italy in the 1990s

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Author Info

  • Giuseppe De Arcangelis

    ()
    (CIDEI, University of Rome "La Sapienza" and Ministero del Tesoro, Unità di Valutazione delle Politiche Economiche)

  • Giorgio Di Giorgio

    (University of Rome "La Sapienza" and LUISS "G. Carli")

Abstract

In this paper we present a structural VAR analysis of monetary policy in Italy. A monetary policy operating regime based on the control of the overnight rate seems to fit the data better than alternative quantitative monetary regimes. In the analysis we include the real exchange rate as a possible transmission channel of monetary policy shocks. The model allows us to derive an overall indicator of the monetary policy stance that is able to highlight the major episodes of monetary contraction in the sample.

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Bibliographic Info

Article provided by GDE (Giornale degli Economisti e Annali di Economia), Bocconi University in its journal Giornale degli Economisti e Annali di Economia.

Volume (Year): 57 (1998)
Issue (Month): 2 (September)
Pages: 213-250

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Handle: RePEc:gde:journl:gde_v57_n2_p213-250

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Related research

Keywords: monetary olicy shocks and indicators; structural VAR;

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Cited by:
  1. Roberto Tamborini & Riccardo Fiorentini, 2001. "The monetary transmission mechanism in Italy: the credit channel and a missing ring," Department of Economics Working Papers 0101, Department of Economics, University of Trento, Italia.
  2. Paolo Chiades & Leonardo Gambacorta, 2004. "The Bernanke and Blinder Model in an Open Economy: The Italian Case," German Economic Review, Verein für Socialpolitik, vol. 5(1), pages 1-34, 02.
  3. Ben S.C. Fung, 2002. "A VAR analysis of the effects of monetary policy in East Asia," BIS Working Papers 119, Bank for International Settlements.
  4. Brisne J. V. Céspedes & Elcyon C. R. Lima & Alexis Maka & Mário J. C. Mendonça, 2005. "Measuring Monetary Policy Stance in Brazil," Discussion Papers 1128, Instituto de Pesquisa Econômica Aplicada - IPEA.
  5. Giuseppe De Arcangelis & Giorgio Di Giorgio, 1999. "Monetary policy shocks and transmission in Italy: A VAR analysis," Economics Working Papers 446, Department of Economics and Business, Universitat Pompeu Fabra.
  6. Eugenio Gaiotti, 1999. "The transmission of monetary policy shocks in Italy," Temi di discussione (Economic working papers) 363, Bank of Italy, Economic Research and International Relations Area.
  7. Riccardo Bonci & Francesco Columba, 2007. "The Effects Of Monetary Policy Shocks On Flow Of Funds:The Italian Case," Money Macro and Finance (MMF) Research Group Conference 2006 75, Money Macro and Finance Research Group.
  8. Nicola Acocella & Giovanni Di Bartolomeo, 2001. "Wage and public expenditure setting in a monetary union," Macroeconomics 0105002, EconWPA.

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