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A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area

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  • Matteo Luciani

    ()
    (University of "Roma Tre")

Abstract

This paper, by the estimation of a structural VAR model on aggregate data from 1980 to 2002, examines the macroeconomic effects of an unexpected change in monetary policy on the euro area. The results are in line with the economic theory and they are close to the one estimated by other authors. These results, considering the formation of the European Monetary Union, give rise to some doubts and require some considerations. Thus, this paper discusses the limits of both the econometric technique used, and the data compilation methodology usually applied in these works.

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File URL: http://www.rivistapoliticaeconomica.it/2004/nov-dic/LucianiING.pdf
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Article provided by SIPI Spa in its journal Rivista di Politica Economica.

Volume (Year): 94 (2004)
Issue (Month): 6 (November-December)
Pages: 175-214

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Handle: RePEc:rpo:ripoec:v:94:y:2004:i:6:p:175-214

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  1. Gerlach, Stefan & Svensson, Lars E O, 2002. "Money and Inflation in the Euro-Area: A Case for Monetary Indicators?," CEPR Discussion Papers 3392, C.E.P.R. Discussion Papers.
  2. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
  3. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring monetary policy," Working Papers in Applied Economic Theory 95-09, Federal Reserve Bank of San Francisco.
  4. Ball, Laurence, 1995. "Time-consistent policy and persistent changes in inflation," Journal of Monetary Economics, Elsevier, vol. 36(2), pages 329-350, November.
  5. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  6. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  7. Eichenbaum, Martin & Evans, Charles L, 1995. "Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates," The Quarterly Journal of Economics, MIT Press, vol. 110(4), pages 975-1009, November.
  8. Gabriel Fagan & JÊrÆme Henry, 1998. "Long run money demand in the EU: Evidence for area-wide aggregates," Empirical Economics, Springer, vol. 23(3), pages 483-506.
  9. Angeloni, Ignazio & Ehrmann, Michael, 2003. "Monetary policy transmission in the euro area: any changes after EMU?," Working Paper Series 0240, European Central Bank.
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