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In Search of Monetary Policy Measures: The Case of Italy in the 1990s

Author

Listed:
  • Giuseppe De Arcangelis

    () (CIDEI, University of Rome "La Sapienza" and Ministero del Tesoro, Unità di Valutazione delle Politiche Economiche)

  • Giorgio Di Giorgio

    (University of Rome "La Sapienza" and LUISS "G. Carli")

Abstract

In this paper we present a structural VAR analysis of monetary policy in Italy. A monetary policy operating regime based on the control of the overnight rate seems to fit the data better than alternative quantitative monetary regimes. In the analysis we include the real exchange rate as a possible transmission channel of monetary policy shocks. The model allows us to derive an overall indicator of the monetary policy stance that is able to highlight the major episodes of monetary contraction in the sample.

Suggested Citation

  • Giuseppe De Arcangelis & Giorgio Di Giorgio, 1998. "In Search of Monetary Policy Measures: The Case of Italy in the 1990s," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 57(2), pages 213-250, September.
  • Handle: RePEc:gde:journl:gde_v57_n2_p213-250
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    References listed on IDEAS

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    1. Allison C Schrager & George A Mackenzie, 2004. "Can the Private Annuity Market Provide Secure Retirement Income?," IMF Working Papers 04/230, International Monetary Fund.
    2. Carlo Mazzaferro & Marcello Morciano, 2011. "Measuring intra-generational and inter-generational redistribution in the reformed Italian social security system," Working Papers 11, Department of the Treasury, Ministry of the Economy and of Finance.
    3. Giuseppe Carone & Herwig Immervoll & Dominique Paturot & Aino Salomäki, 2004. "Indicators of Unemployment and Low-Wage Traps: Marginal Effective Tax Rates on Employment Incomes," OECD Social, Employment and Migration Working Papers 18, OECD Publishing.
    4. Chłoń-Domińczak, Agnieszka & Strzelecki, Paweł, 2013. "The minimum pension as an instrument of poverty protection in the defined contribution pension system – an example of Poland," Journal of Pension Economics and Finance, Cambridge University Press, vol. 12(03), pages 326-350, July.
    5. Carlo Mazzaferro & Marcello Morciano, 2008. "CAPP_DYN: A Dynamic Microsimulation Model for the Italian Social Security System," Department of Economics 0595, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    6. Cannon, Edmund & Tonks, Ian, 2003. "UK annuity rates and pension replacement ratios 1957-2002," LSE Research Online Documents on Economics 24832, London School of Economics and Political Science, LSE Library.
    7. Monika Queisser & Edward R. Whitehouse, 2006. "Neutral or Fair?: Actuarial Concepts and Pension-System Design," OECD Social, Employment and Migration Working Papers 40, OECD Publishing.
    8. Mazzaferro, Carlo & Morciano, Marcello & Savegnago, Marco, 2012. "Differential mortality and redistribution in the Italian notional defined contribution system," Journal of Pension Economics and Finance, Cambridge University Press, vol. 11(04), pages 500-530, October.
    9. repec:mod:cappmo:0035 is not listed on IDEAS
    10. Giovanni Guazzarotti & Pietro Tommasino, 2008. "The Annuity Market in an Evolving Pension System: Lessons from Italy," CeRP Working Papers 77, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    11. Baldini Massimo & Mazzaferro Carlo & Morciano Marcello, 2008. "Assessing the implications of long-term care policies in Italy: a microsimulation approach," Politica economica, Società editrice il Mulino, issue 1, pages 47-72.
    12. Carlo Mazzaferro & Marcello Morciano, 2008. "CAPP_DYN: A Dynamic Microsimulation Model for the Italian Social Security System," Department of Economics 0595, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
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    Citations

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    Cited by:

    1. Riccardo Bonci & Francesco Columba, 2007. "The Effects Of Monetary Policy Shocks On Flow Of Funds:The Italian Case," Money Macro and Finance (MMF) Research Group Conference 2006 75, Money Macro and Finance Research Group.
    2. Riccardo Fiorentini & Roberto Tamborini, 2001. "The Monetary Transmission Mechanism in Italy: The Credit Channel and a Missing Ring," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, pages 1-42.
    3. Ben S.C. Fung, 2002. "A VAR analysis of the effects of monetary policy in East Asia," BIS Working Papers 119, Bank for International Settlements.
    4. Nicola Acocella & Giovanni Di Bartolomeo, 2003. "Wage and Public Expenditure Setting in a Monetary Union," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 6(1-2), pages 1-16, May - Nov.
    5. Amarasekara, Chandranath, 2008. "The Impact of Monetary Policy on Economic Growth and Inflation in Sri Lanka," MPRA Paper 64866, University Library of Munich, Germany.
    6. Brisne J. V. Céspedes & Elcyon C. R. Lima & Alexis Maka & Mário J. C. Mendonça, 2005. "Measuring Monetary Policy Stance in Brazil," Discussion Papers 1128, Instituto de Pesquisa Econômica Aplicada - IPEA.
    7. Giuseppe De Arcangelis & Giorgio Di Giorgio, 1999. "Monetary policy shocks and transmission in Italy: A VAR analysis," Economics Working Papers 446, Department of Economics and Business, Universitat Pompeu Fabra.
    8. Eugenio Gaiotti, 1999. "The transmission of monetary policy shocks in Italy," Temi di discussione (Economic working papers) 363, Bank of Italy, Economic Research and International Relations Area.
    9. Paolo Chiades & Leonardo Gambacorta, 2004. "The Bernanke and Blinder Model in an Open Economy: The Italian Case," German Economic Review, Verein für Socialpolitik, vol. 5(1), pages 1-34, February.

    More about this item

    Keywords

    monetary olicy shocks and indicators; structural VAR;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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