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Monetary policy shocks and transmission in Italy: A VAR analysis

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  • Giuseppe De Arcangelis
  • Giorgio Di Giorgio

Abstract

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/

Keywords: Monetary policy shocks and indicators; structural VAR;

Find related papers by JEL classification:

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

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Cited by:

  1. Michael Binder & Qianying Chen & Xuan Zhang, 2010. "On the Effects of Monetary Policy Shocks on Exchange Rates," CESifo Working Paper Series 3162, CESifo Group Munich.
  2. Paolo Chiades & Leonardo Gambacorta, 2004. "The Bernanke and Blinder Model in an Open Economy: The Italian Case," German Economic Review, Verein für Socialpolitik, vol. 5(1), pages 1-34, 02.
  3. Anna Florio, 2005. "Asymmetric monetary policy: empirical evidence for Italy," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 751-764.
  4. Carlo Migliardo, 2010. "Monetary Policy Transmission in Italy: A BVAR Analysis with Sign Restriction," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(2), pages 139-167, June.

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