The Effect of Joining the EMS: Monetary Transmission Mechanisms in Spain
AbstractThis paper presents a cointegrated VAR analysis of monetary transmission mechanisms and changes in them after Spain joined the EMS in 1989. Analyses of long-run price homogeneity within the I(2) model turned out to be crucial for understanding the joint behaviour of money, income, prices, and interest rates. The empirical results provide new insight on the macroeconomic effects of joining the EMS and financial deregulation.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 99-22.
Length: 42 pages
Date of creation: Sep 1999
Date of revision:
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cointegration; long-run impact; money demand; IS-LM; monetary policy; capital liberalization;
Find related papers by JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-04 (All new papers)
- NEP-CBA-2002-03-04 (Central Banking)
- NEP-EEC-2002-03-04 (European Economics)
- NEP-MON-2002-03-04 (Monetary Economics)
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- Katarina Juselius, 2001. "European integration and monetary transmission mechanisms: the case of Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 341-358.
- Héctor Bravo L. & Carlos García T., 2002. "Measuring Monetary Policy and Pass-Through in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(3), pages 5-28, December.
- Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 509-531, April.
- Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
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