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Dynamic Models and Structural Shift: Monetary Transmission Mechanisms in Italy before and after EMS

Author

Listed:
  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

  • Elena Gennari

    (European University Institute)

Abstract

The focus is on nominal transmission mechanisms in Italy with special reference to monetary effects and how they have changed with the increased economic integration in Europe and the increased independence of Italian Central Bank. The empirical model investigates the dynamic determination of money, income, prices, and interest rates based on the cointegrated VAR model. The choice of price measurements and its consequences for the empirical results are given special attention. The empirical results provide empirical results on the macroeconomic effects of joining the ERM and of capital deregulation.

Suggested Citation

  • Katarina Juselius & Elena Gennari, 1999. "Dynamic Models and Structural Shift: Monetary Transmission Mechanisms in Italy before and after EMS," Discussion Papers 99-12, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9912
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    File URL: http://www.econ.ku.dk/english/research/publications/wp/1999/9912.pdf/
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    More about this item

    Keywords

    I(2) analysis; regime shift; price homogeneity; money demand; IS-LM; monetary policy;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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