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Spanish monetary policy: A structural VAR analysis

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  • Etsuro Shioji
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    Abstract

    Some past studies analyzed Spanish monetary policy with the standard VAR. Their problem is that this method obliges researchers to impose a certain extreme form of the short run policy rule on their models. Hence, it does not allow researchers to study the possibility of structural changes in this rule, either. This paper overcomes these problems by using the structural VAR. I find that the rule has always been that of partial accommodation. Prior to 1984, it was quite close to money targeting. After 1984, it became closer to the interest rate targeting, with more emphasis on the exchange rate.

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    File URL: http://www.econ.upf.edu/docs/papers/downloads/215.pdf
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    Bibliographic Info

    Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 215.

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    Date of creation: May 1997
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    Handle: RePEc:upf:upfgen:215

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    Web page: http://www.econ.upf.edu/

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    Keywords: Monetary policy; structural VAR; identification; exchange rate;

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    1. Eichenbaum, Martin & Evans, Charles L, 1995. "Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 110(4), pages 975-1009, November.
    2. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 102(6), pages 1228-47, December.
    3. Eric M. Leeper & David B. Gordon, 1991. "In search of the liquidity effect," Working Paper, Federal Reserve Bank of Atlanta 91-17, Federal Reserve Bank of Atlanta.
    4. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
    5. Olivier J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc.
    6. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
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    Cited by:
    1. Ramón María-Dolores, 2001. "Asimetrías en los efectos de la política monetaria en España (1977-1996)," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 25(2), pages 391-415, May.
    2. Juan J. Dolado & Ramón María-Dolores, 2001. "An empirical study of the cyclical effects of monetary policy in Spain (1977-1997)," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 25(1), pages 3-30, January.
    3. B. Mojon, 1999. "Monetary policy under a quasi-fixed exchange rate regime. The case of France between 1987 and 1996," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 52(211), pages 401-430.
    4. Benoît Mojon, 1998. "Monetary Policy Under a Fixed Exchange Rate Regime, the Case of France 1987-1996," Working Papers 1998-14, CEPII research center.
    5. 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, European Central Bank 0092, European Central Bank.

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