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What does the single monetary policy do? A SVAR benchmark for the European Central Bank

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Author Info
Carlo Monticelli () (Italian Ministry of Economy and Finance)
Oreste Tristani () (European Central Bank, Directorate General Research)

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Abstract

This paper puts forward a characterization of the structural features of the economic system relevant to the monetary-policy decisions of the European Central Bank. The econometric analysis adopts a parsimonious VAR representation of three key macroeconomic variables (interest rates, prices and GDP) aggregated across countries to obtain area-wide time series. The exogenous disturbances driving the multivariate system are identified imposing restrictions based on economic theory. The dynamic properties of the estimated models are analyzed and compared with the available evidence for the US. The robustness of this characterization is corroborated by the estimates from a different sample period and by the findings from an alternative model that singles out German monetary policy in view of its anchor role within the ERM.

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Publisher Info
Paper provided by European Central Bank in its series Working Paper Series with number 2.

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Length: 31 pages
Date of creation: May 1999
Date of revision:
Handle: RePEc:ecb:ecbwps:19990002

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Related research
Keywords: European Central Bank; Monetary Union; VARs;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

References listed on IDEAS
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    Other versions:
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  23. Grilli, Vittorio & Roubini, Nouriel, 1992. "Liquidity and exchange rates," Journal of International Economics, Elsevier, vol. 32(3-4), pages 339-352, May. [Downloadable!] (restricted)
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