IDEAS home Printed from https://ideas.repec.org/p/uab/wprdea/wpdea0810.html
   My bibliography  Save this paper

The monetary policy rules in EU-15: before and after the euro

Author

Listed:
  • Borek Vasícek

    (Departament d'Economia Aplicada, Universitat Autonoma de Barcelona)

Abstract

The objective of this paper is to identify empirically the logic behind short-term interest rates setting of: 1) the monetary authorities of the 15 EU countries before the launch of the European Monetary Union (EMU) and 2) the European Central Bank (ECB) and the central banks of the non-EMU participants since 1999. We find that the Taylor rule, based on the response to inflation and to the output gap, is a reasonable description of the interest rate setting for only a few economies. In addition, the foreign interest rate and the long-term interest rate are often crucial to explain short-term interest rate developments. On the contrary, the impact of other variables often proposed in the literature (exchange rates, monetary growth and asset prices) is negligible. The application of singleequation analysis to Euro area aggregate data to identify the ECB policy rule seems to suffer econometric deficiencies. Besides, we find some evidence indicating that the ECB considers also national information for its decision-making and consequently that the ECB interest-rate rule can be revealed in quasi-panel setting.

Suggested Citation

  • Borek Vasícek, 2008. "The monetary policy rules in EU-15: before and after the euro," Working Papers wpdea0810, Department of Applied Economics at Universitat Autonoma of Barcelona.
    • Handle: RePEc:uab:wprdea:wpdea0810
    as

    Download full text from publisher

    File URL: https://ecap.uab.cat/RePEc/doc/wpdea0810.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    monetary policy; Taylor rule; European Monetary Union; panel data;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uab:wprdea:wpdea0810. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dept. Economia Aplicada (email available below). General contact details of provider: https://edirc.repec.org/data/dauabes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.