The monetary transmission mechanism in the Euro area: more evidence from VAR analysis (MTN conference paper)

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The monetary transmission mechanism in the Euro area: more evidence from VAR analysis (MTN conference paper)

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Frank Smets () (European Central Bank, Kaiserstrasse 29, Postfach 16 03 19, 60066 Frankfurt am Main, Germany.)
Gert Peersman () (Ghent University - Department of Financial Economics, W. Wilsonplein 5D, Ghent 9000, Belgium.)

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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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Paper provided by European Central Bank in its series Working Paper Series with number 091.

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Length: 37 pages
Date of creation: Dec 2001
Date of revision:
Handle: RePEc:ecb:ecbwps:20010091

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