The monetary transmission mechanism in the euro area: more evidence from VAR analysis

Gert Peersman () and Frank Smets

No 91, Working Paper Series from European Central Bank

Abstract: This paper applies the identified VAR methodology to synthetic euro area data from 1980 till 1998 to study the macro-economic effects of an unexpected change in monetary policy in the euro area. The focus is on the area-wide monetary transmission. It is shown that the overall macro-economic effects of a monetary policy shock in the euro area are very similar to those estimated for the United States and are surprisingly stable over time. In addition, the paper contains a number of robustness checks with alternative identification schemes and examines how various real and financial variables (such as the GDP or money components) respond to an area-wide monetary policy impulse JEL Classification: E52

Keywords: monetary transmission mechanism; vector autoregressions (search for similar items in EconPapers)
Date: 2001-12
Note: 58657
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Citations: View citations in EconPapers (444)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:200191

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