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Asymmetric Monetary Policy Effects in EMU

Author

Listed:
  • Bernd Hayo

    (University of Essen)

  • Volker Clausen

    (University of Essen)

Abstract

This paper uses a semi-structural dynamic modelling approach to investigate asymmetric monetary transmission in Europe. A system of equations containing reaction functions for monetary policy, output and inflation equations is simultaneously estimated for France, Germany, and Italy. Extensive cross equation tests show that relatively large differences in simulated impulse responses are still consistent with the notion that the transmission mechanism is homogeneous across the three major EMU countries. However, monetary policy impulses show a relatively stronger effect on the output gap in Italy and Germany. Out-of-sample tests do not find a structural break in the transmission mechanisms prior to EMU.

Suggested Citation

  • Bernd Hayo & Volker Clausen, 2002. "Asymmetric Monetary Policy Effects in EMU," Macroeconomics 0203003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpma:0203003
    Note: Type of Document - ; prepared on IBM PC; pages: 16; figures: included
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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