This paper develops the "identified VAR" models of France and Spain with German monetary variables to identify monetary policy shocks during the period when the exchange rate is controlled mostly by the ERM. Different identifying assumptions on the contemporaneous policy interactions are experimented. The impulse responses to monetary policy shocks and estimated parameters of monetary reaction function suggest that the identification scheme implying unilateral contemporaneous reaction of non-German monetary policies seem reasonable identifying assumptions in these countries.
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Find related papers by JEL classification: E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
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