Measuring monetary policy shocks in France, Germany and Italy: The role of the exchange rate
In the identified VAR literature the role of the exchange rate in measuring monetary policy shocks has often been neglected. However, many open economies find it useful to target the exchange rate. In such a regime exchange rate innovations will better capture domestic monetary policy shocks. This paper first estimates the weight on the ECU exchange rate in France, Germany and Italy under the ERM regime. Next, these weights are used to identify a typical monetary policy shock in these countries and analyse its effects on output, inflation, the interest rate and the exchange rate.
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| Length: | 25 pages |
| Date of creation: | Jun 1997 |
| Date of revision: | |
| Handle: | RePEc:bis:biswps:42 |
| Contact details of provider: | Postal: Centralbahnplatz 2, CH - 4002 Basel Phone: (41) 61 - 280 80 80 Fax: (41) 61 - 280 91 00 Web page: http://www.bis.org/ Email: More information through EDIRC
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References listed on IDEAS
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