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The role of money and monetary policy in crisis periods: the Euro area case

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  • Benchimol, Jonathan

    ()
    (ESSEC Business School)

  • Fourçans, André

    ()
    (ESSEC Business School)

Abstract

In this paper, we test two models of the Eurozone, with a special emphasis on the role of money and monetary policy during crises. The role of separability between money and consumption is investigated further and we analyse the Euro area economy during three different crises: 1992, 2001 and 2007. We find that money has a rather significant role to play in explaining output variations during crises whereas, at the same time, the role of monetary policy on output decreases significantly. Moreover, we find that a model with non-separability between consumption and money has better forecasting performance than a baseline separable model over crisis periods.

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File URL: http://hal-essec.archives-ouvertes.fr/docs/00/67/28/06/PDF/WP1201.pdf
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Bibliographic Info

Paper provided by ESSEC Research Center, ESSEC Business School in its series ESSEC Working Papers with number WP1201.

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Length: 34 pages
Date of creation: 01 Feb 2012
Date of revision: 27 Feb 2012
Handle: RePEc:ebg:essewp:dr-12001

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Postal: ESSEC Research Center, BP 105, 95021 Cergy, France
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Web page: http://www.essec.edu/
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Keywords: Euro area; Money; DSGE forecasting;

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References

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Money and DSGE models – a few good papers
    by Lars Christensen in The Market Monetarist on 2013-10-02 06:51:46

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  1. Financial crisis of 2007–08 in Wikipedia (English)

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