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European integration and monetary transmission mechanisms: the case of Italy

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  • Katarina Juselius

    (Institute of Economics, University of Copenhagen, Studiestraede 6, DK-1455, Copenhagen K, Denmark)

Abstract

The focus in this paper is on the monetary transmission mechanism in Italy and how it has changed with the increased independence of the Italian Central Bank and the increasingly fixed exchange rates of the ERM. The sample period 1974-1994 is divided into two parts approximately corresponding to the different systems. Based on a VAR model for money, income, prices, and interest rates the cointegration properties of the data in nominal and real terms are analysed. Long-run price homogeneity is empirically rejected and the economic and econometric consequences for a real money analysis are described. Altogether we find little evidence that the use of M2 and the short interest rate as intermediate targets has effectively controlled price inflation in this period. Copyright © 2001 John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 16 (2001)
Issue (Month): 3 ()
Pages: 341-358

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Handle: RePEc:jae:japmet:v:16:y:2001:i:3:p:341-358

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  1. Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999. "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, vol. 90(2), pages 265-289, June.
  2. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
  3. repec:cup:etheor:v:8:y:1992:i:2:p:188-202 is not listed on IDEAS
  4. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.
  5. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
  6. Katarina Juselius, 1998. "Changing monetary transmission mechanisms within the EU," Empirical Economics, Springer, vol. 23(3), pages 455-481.
  7. Angelini, P. & Hendry, D.F. & Rinaldi, R., 1993. "An Econometric Analysis of Money Demand in Italy," Papers 219, Banca Italia - Servizio di Studi.
  8. Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
  9. M. Sarcinelli, 1995. "Italian monetary policy in the '80s and '90s: the revision of the modus operandi," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 48(195), pages 397-422.
  10. M. Sarcinelli, 1995. "Italian monetary policy in the '80s and '90s: the revision of the modus operandi," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 48(195), pages 397-422.
  11. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
  12. Katarina Juselius & Juan Toro, 1999. "The Effect of Joining the EMS: Monetary Transmission Mechanisms in Spain," Discussion Papers 99-22, University of Copenhagen. Department of Economics.
  13. Juselius, Katarina, 1992. "Domestic and foreign effects on prices in an open economy: The case of Denmark," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 401-428, August.
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Citations

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Cited by:
  1. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
  2. Herzer, Dierk & Strulik, Holger & Vollmer, Sebastian, 2010. "The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999," Hannover Economic Papers (HEP) dp-456, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Dierk HERZER & Felicitas NOWAK-LEHMANN D. & Boriss SILIVERSTOVS, 2006. "Export-Led Growth In Chile: Assessing The Role Of Export Composition In Productivity Growth," The Developing Economies, Institute of Developing Economies, vol. 44(3), pages 306-328.
  4. Farmer, Roger E A, 2000. "Natural Rate Doubts," CEPR Discussion Papers 2426, C.E.P.R. Discussion Papers.
  5. Noriega, Antonio E., 2004. "Long-run monetary neutrality and the unit-root hypothesis: further international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 179-197, August.
  6. Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
  7. Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 509-531, April.
  8. Fabrizio Coricelli & Boštjan Jazbec & Igor Masten, 2004. "Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-through," William Davidson Institute Working Papers Series 2004-674, William Davidson Institute at the University of Michigan.
  9. Ansgar Belke & Marcel Wiedmann, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 0435, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  10. Igor Masten & Bostjan Jazbec & Fabrizio Coricelli, 2004. "L’influence du régime de change sur l’inflation dans les pays adhérents," Économie et Prévision, Programme National Persée, vol. 163(2), pages 51-61.

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