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National Specifities and Monetary-Policy Trasmission in Europe

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  • Francesco Carlucci
  • Alessandro Girardi

Abstract

This work presents five structural co-integrating VAR models used to describe the economies of France, Germany, Italy, the Netherlands and Spain in the years 1983-1998 and to analyse their economic policies. Shortrun dynamics move around the long-run structure, represented by money, goods and capital market equilibrium conditions. The fitting of the reference theoretical model to the data is not imposed a priori but empirically tested. Long- and short-run properties of models highlight deep heterogeneities in the economic structures and in the monetary policy transmission mechanism among the countries. Germany plays a dominant role in the European economy and, together with the Netherlands, seems to have formed an economic area where the money, goods and capital markets are integrated. France is linked to this area, while Italy turns out to be less integrated. Finally, Spain seems to be completely disjoined.

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Bibliographic Info

Paper provided by University of Rome La Sapienza, Department of Public Economics in its series Working Papers with number 73.

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Length: 32
Date of creation: May 2004
Date of revision:
Handle: RePEc:sap:wpaper:wp73

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Keywords: Structural co-integrating VAR model; Monetary policy; EMU.;

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References

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  1. Philip Arestis & Malcolm Sawyer, 2001. "Will The Euro Bring Economic Crisis to Europe?," Economics Working Paper Archive wp_322, Levy Economics Institute.
  2. Dornbusch, Rudiger & Favero, Carlo A & Giavazzi, Francesco, 1998. "A Red Letter Day?," CEPR Discussion Papers 1804, C.E.P.R. Discussion Papers.
  3. Pesaran, M.H. & Shin, Y., 1993. "Cointegration and Speed of Convergence to Equilibrium," Cambridge Working Papers in Economics 9311, Faculty of Economics, University of Cambridge.
  4. Katarina Juselius, 1996. "An Empirical Analysis of the Changing Role of the German Bundesbank after 1983," Discussion Papers 96-18, University of Copenhagen. Department of Economics.
  5. Peter van Els & Alberto Locarno & Julian Morgan & Jean-Pierre Villetelle, 2001. "Monetary policy transmission in the euro area: what do aggregate and national structural models tell us?," Temi di discussione (Economic working papers) 433, Bank of Italy, Economic Research and International Relations Area.
  6. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  7. Augusto Graziani, 2002. "The Euro: An Italian perspective," International Review of Applied Economics, Taylor & Francis Journals, vol. 16(1), pages 97-105.
  8. Hagen, Jurgen von & Fratianni, Michele, 1990. "German dominance in the EMS: evidence from interest rates," Journal of International Money and Finance, Elsevier, vol. 9(4), pages 358-375, December.
  9. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, vol. 69(1), pages 211-240, September.
  10. Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
  11. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 58-83, March.
  12. Benedict J. Clements & Zenon Kontolemis G. & Joaquim Vieira Ferreira Levy, 2001. "Monetary Policy Under EMU Differences in the Transition Mechanism?," IMF Working Papers 01/102, International Monetary Fund.
  13. Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
  14. Andrew Hughes Hallett & Laura Piscitelli, 2002. "Does One Size Fit All? A currency union with asymmetric transmissions and a stability pact," International Review of Applied Economics, Taylor & Francis Journals, vol. 16(1), pages 71-96.
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Cited by:
  1. Daniele Antonucci & Alessandro Girardi, 2005. "Structural changes and deviations from the PPP within the Euro Area," ISAE Working Papers 57, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).

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