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The monetary transmission mechanism in the euro area: more evidence from VAR analysis

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  • Peersman, Gert
  • Smets, Frank

Abstract

This paper applies the identified VAR methodology to synthetic euro area data from 1980 till 1998 to study the macro-economic effects of an unexpected change in monetary policy in the euro area. The focus is on the area-wide monetary transmission. It is shown that the overall macro-economic effects of a monetary policy shock in the euro area are very similar to those estimated for the United States and are surprisingly stable over time. In addition, the paper contains a number of robustness checks with alternative identification schemes and examines how various real and financial variables (such as the GDP or money components) respond to an area-wide monetary policy impulse JEL Classification: E52

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0091.

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Date of creation: Dec 2001
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Handle: RePEc:ecb:ecbwps:20010091

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Keywords: monetary transmission mechanism; vector autoregressions;

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