Global monetary policy shocks in the G5: A SVAR approach
The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +49 (0)69 798-30050
Fax: +49 (0)69 798-30077
Web page: http://www.ifk-cfs.de/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruggeman, Annick & Camba-Méndez, Gonzalo & Fischer, Björn & Sousa, João, 2005. "Structural filters for monetary analysis: the inflationary movements of money in the euro area," Working Paper Series 0470, European Central Bank.
- Rudi Dornbusch & Carlo Favero & Francesco Giavazzi, 1998. "Immediate challenges for the European Central Bank," Economic Policy, CEPR;CES;MSH, vol. 13(26), pages 15-64, 04.
- Roffia, Barbara & Zaghini, Andrea, 2007.
"Excess money growth and inflation dynamics,"
Working Paper Series
0749, European Central Bank.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Gordon, David B & Leeper, Eric M, 1994.
"The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification,"
Journal of Political Economy,
University of Chicago Press, vol. 102(6), pages 1228-47, December.
- David B. Gordon & Eric M. Leeper, 1992. "The dynamic impacts of monetary policy: an exercise in tentative identification," Working Paper 92-13, Federal Reserve Bank of Atlanta.
- David B. Gordon & Eric M. Leeper, 1993. "The dynamic impacts of monetary policy: an exercise in tentative identification," Working Paper 93-5, Federal Reserve Bank of Atlanta.
- Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
- Kim, Soyoung, 2001. "International transmission of U.S. monetary policy shocks: Evidence from VAR's," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 339-372, October.
- Coenen, Günter & Vega, Juan Luis, 1999.
"The demand for M3 in the euro area,"
Working Paper Series
0006, European Central Bank.
- Gunter Coenen & Juan Luis Vega, 2000. "The Demand for M3 in the Euro Area," Econometric Society World Congress 2000 Contributed Papers 0976, Econometric Society.
- Canova, Fabio, 2003.
"The Transmission of US Shocks to Latin America,"
CEPR Discussion Papers
3963, C.E.P.R. Discussion Papers.
- Dedola, L. & Lippi, F., 2000.
"The Monetary Transmission Mechanism: Evidence from the Industries of Five OECD Countries,"
389, Banca Italia - Servizio di Studi.
- Dedola, Luca & Lippi, Francesco, 2005. "The monetary transmission mechanism: Evidence from the industries of five OECD countries," European Economic Review, Elsevier, vol. 49(6), pages 1543-1569, August.
- Dedola, Luca & Lippi, Francesco, 2000. "The Monetary Transmission Mechanism: Evidence from the Industries of Five OECD Countries," CEPR Discussion Papers 2508, C.E.P.R. Discussion Papers.
- Luca Dedola & Francesco Lippi, 2000. "The monetary transmission mechanism; evidence from the industries of five OECD countries," Temi di discussione (Economic working papers) 389, Bank of Italy, Economic Research and International Relations Area.
- Joao Sousa & Andrea Zaghini, 2008.
"Monetary policy shocks in the euro area and global liquidity spillovers,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 13(3), pages 205-218.
- Sousa, João & Zaghini, Andrea, 2004. "Monetary policy shocks in the euro area and global liquidity spillovers," Working Paper Series 0309, European Central Bank.
- Joao Sousa & Andrea Zaghini, 2007. "Monetary Policy Shocks in the Euro Area and Global Liquidity Spillovers," Temi di discussione (Economic working papers) 629, Bank of Italy, Economic Research and International Relations Area.
- Giordani, Paolo, 2000.
"An alternative explanation of the price puzzle,"
SSE/EFI Working Paper Series in Economics and Finance
414, Stockholm School of Economics, revised 06 Dec 2000.
- H. Yamada, 2000. "M2 demand relation and effective exchange rate in Japan: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 7(4), pages 229-232.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end?,"
Handbook of Macroeconomics,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997. "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues WP-97-18, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- Eric M. Leeper & Jennifer E. Roush, 2003.
"Putting "M" back in monetary policy,"
International Finance Discussion Papers
761, Board of Governors of the Federal Reserve System (U.S.).
- Paul De Grauwe & Magdalena Polan, 2005. "Is Inflation Always and Everywhere a Monetary Phenomenon?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 239-259, 06.
- Pesaran, M.H. & Smith, R., 1992.
"Estimating Long-Run Relationships From Dynamic Heterogeneous Panels,"
Cambridge Working Papers in Economics
9215, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Christopher A. Sims & Tao A. Zha, 1998.
"Does monetary policy generate recessions?,"
98-12, Federal Reserve Bank of Atlanta.
- Rudiger Dornbusch & Carlo A. Favero & Francesco Giavazzi, 1998. "The Immediate Challenges for the European Central Bank," NBER Working Papers 6369, National Bureau of Economic Research, Inc.
- Grayham E. Mizon & David F. Hendry, 1998. "Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK," Empirical Economics, Springer, vol. 23(3), pages 267-294.
- Kim, Soyoung, 1999. "Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries," Journal of International Economics, Elsevier, vol. 48(2), pages 387-412, August.
- Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 0092, European Central Bank.
- Lance J. Bachmeier & Norman R. Swanson, 2005.
"Predicting Inflation: Does The Quantity Theory Help?,"
Western Economic Association International, vol. 43(3), pages 570-585, July.
- Lance J. Bachmeier & Norman R. Swanson, 2003. "Predicting Inflation: Does The Quantity Theory Help?," Departmental Working Papers 200317, Rutgers University, Department of Economics.
- Jill Ann Holman & Rebecca Neumann, 2002. "Evidence on the cross-country transmission of monetary shocks," Applied Economics, Taylor & Francis Journals, vol. 34(15), pages 1837-1857.
- McKinnon, Ronald I, 1982. "Currency Substitution and Instability in the World Dollar Standard," American Economic Review, American Economic Association, vol. 72(3), pages 320-33, June.
- Issing,Otmar & Gaspar,Vitor & Angeloni,Ignazio & Tristani,Oreste, 2001.
"Monetary Policy in the Euro Area,"
Cambridge University Press, number 9780521783248.
- Klaas Baks & Charles Frederick Kramer, 1999. "Global Liquidity and Asset Prices; Measurement, Implications, and Spillovers," IMF Working Papers 99/168, International Monetary Fund.
- Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
- Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:zbw:cfswop:200630. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.