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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Paper 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: Handle: RePEc:kud:kuiedp:9922
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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
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