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The Asymmetric Effects Of A Common Monetary Policy In Europe

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Author Info
Guglielmo Maria Caporale ()
Alaa M. Soliman
Abstract

This paper examines the monetary transmission mechanism in eight EU member states. It provides useful empirical evidence for assessing the impact of a common monetary policy in the early stages of EMU, and enables us to form a view on how the regime change represented by EMU is likely to be translated into changes in policy multipliers in the various EU countries. The empirical analysis applies techniques recently developed by Wickens and Motto (2001) for identifying shocks by estimating a VECM for the endogenous variables, and a stationary VAR in first differences for the exogenous variables. Our findings suggest that there are significant differences between EU countries in the transmission mechanism of monetary policy.

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Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-20.

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Length: 24 pages
Date of creation: Dec 2005
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Handle: RePEc:bru:bruedp:05-20

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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  2. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December. [Downloadable!] (restricted)
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  3. Rudiger Dornbusch & Carlo A. Favero & Francesco Giavazzi, 1998. "The Immediate Challenges for the European Central Bank," NBER Working Papers 6369, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Pesaran, M. H. & Smith, Ron P., 1998. "Structural Analysis of Cointegrating VARs," Cambridge Working Papers in Economics 9811, Faculty of Economics, University of Cambridge.
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  6. Bagliano, Fabio C. & Favero, Carlo A., 1998. "Measuring monetary policy with VAR models: An evaluation," European Economic Review, Elsevier, vol. 42(6), pages 1069-1112, June. [Downloadable!] (restricted)
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  7. Paolo Chiades & Leonardo Gambacorta, 2000. "La "credit view" in economia aperta: unÂ’applicazione al caso italiano," Temi di discussione (Economic working papers) 388, Bank of Italy, Economic Research Department. [Downloadable!]
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  11. Antonio Fatás, 1998. "Does EMU need a fiscal federation?," Economic Policy, CEPR, CES, MSH, vol. 13(26), pages 163-203, 04. [Downloadable!] (restricted)
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  14. A Garratt & K Lee & M H Pesaran & Yongcheol Shin, 1999. "A structural cointegrating VAR approach to macroeconometric modelling," ESE Discussion Papers 8, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
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  15. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January. [Downloadable!] (restricted)
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  16. 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. [Downloadable!]
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  17. Rudi Dornbusch & Carlo Favero & Francesco Giavazzi, 1998. "Immediate challenges for the European Central Bank," Economic Policy, CEPR, CES, MSH, vol. 13(26), pages 15-64, 04. [Downloadable!] (restricted)
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