National Specifities and Monetary-Policy Trasmission in Europe
AbstractThis 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 InfoPaper provided by University of Rome La Sapienza, Department of Public Economics in its series Working Papers with number 73.
Date of creation: May 2004
Date of revision:
Structural co-integrating VAR model; Monetary policy; EMU.;
Find related papers by JEL classification:
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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