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

  • Soyoung Kim

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.

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Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9811.

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Length: 41 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:bde:wpaper:9811
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