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Monetary policy shocks and transmission in Italy: A VAR analysis

  • Giuseppe De Arcangelis
  • Giorgio Di Giorgio

This paper provides updated empirical evidence about the real and nominal effects of monetary policy in Italy, by using structural VAR analysis. We discuss different empirical approaches that have been used in order to identify monetary policy exogenous shocks. We argue that the data support the view that the Bank of Italy, at least in the recent past, has been targeting the rate on overnight interbank loans. Therefore, we interpret shocks to the overnight rate as purely exogenous monetary policy shocks and study how different macroeconomic variables react to such shocks.

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File URL: http://www.econ.upf.edu/docs/papers/downloads/446.pdf
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Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 446.

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Date of creation: Dec 1999
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Handle: RePEc:upf:upfgen:446
Contact details of provider: Web page: http://www.econ.upf.edu/

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