Monetary analysis: a VAR perspective
AbstractThe purpose of this study is to investigate the dynamic relationships between some key variables for the euro area by means of a systems approach (i.e. so-called Vector Autoregression) and to simulate their responses with respect to monetary policy shocks. The main result is that rather simple models can provide plausible reactions to changes in monetary policy. In particular, a positive shock in the short-term nominal interest rate is followed by a transitory decline in real income as well as a negative and permanent effect on the price level and nominal M3, leaving real M3 broadly unchanged. --
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Bibliographic InfoPaper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 78.
Date of creation: 2007
Date of revision:
Monetary analysis; VAR models; generalized impulse response functions;
Find related papers by JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
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- Almer, Thomas & Heidorn, Thomas & Schmaltz, Christian, 2008. "The dynamics of short- and long-term CDS-spreads of banks," Frankfurt School - Working Paper Series 95, Frankfurt School of Finance and Management.
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