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The Effect of Joining the EMS: Monetary Transmission Mechanisms in Spain

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Author Info

  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

  • Juan Toro

    (European University Institute)

Abstract

This 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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File URL: http://www.econ.ku.dk/english/research/publications/wp/1999/9922.pdf/
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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 99-22.

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Length: 42 pages
Date of creation: Sep 1999
Date of revision:
Handle: RePEc:kud:kuiedp:9922

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Related research

Keywords: cointegration; long-run impact; money demand; IS-LM; monetary policy; capital liberalization;

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Cited by:
  1. Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
  2. 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.
  3. 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.
  4. 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.

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