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Identifying European Monetary Policy Interactions: French and Spanish System with German Variables

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  • Soyoung Kim

Abstract

This paper develops the "identified VAR" models of France and Spain with German monetary variables to identify monetary policy shocks during the period when the exchange rate is controlled mostly by the ERM. Different identifying assumptions on the contemporaneous policy interactions are experimented. The impulse responses to monetary policy shocks and estimated parameters of monetary reaction function suggest that the identification scheme implying unilateral contemporaneous reaction of non-German monetary policies seem reasonable identifying assumptions in these countries.

Suggested Citation

  • Soyoung Kim, 1998. "Identifying European Monetary Policy Interactions: French and Spanish System with German Variables," Working Papers 9811, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:9811
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    Citations

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    Cited by:

    1. Gerardo Licandro, 2000. "Is Mercosur an Optimal Currency Area? A shock correlation perspective," Documentos de trabajo 2000004, Banco Central del Uruguay.
    2. B. Mojon, 1999. "Monetary policy under a quasi-fixed exchange rate regime. The case of France between 1987 and 1996," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 52(211), pages 401-430.
    3. 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.
    4. Kim, Soyoung, 2002. "Exchange rate stabilization in the ERM: identifying European monetary policy reactions," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 413-434, June.
    5. Benoît Mojon, 1998. "Monetary Policy Under a Fixed Exchange Rate Regime, the Case of France 1987-1996," Working Papers 1998-14, CEPII research center.

    More about this item

    Keywords

    FRANCE ; SPAIN ; MONETARY POLICY ; EUROPE;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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