Uncertainty and the real effects of monetary policy shocks in the Euro area

Giovanni Pellegrino

Economics Letters, 2018, vol. 162, issue C, 177-181

Abstract: This paper estimates a nonlinear Interacted-VAR model to investigate whether the effectiveness of monetary policy shocks in the Euro area is influenced by the level of European uncertainty. Generalized Impulse Response Functions à la Koop et al. (1996) suggest that the peak and cumulative effects of monetary policy shocks are lower during uncertain times than during tranquil times, and significantly so once times of very high and very low uncertainty are considered. The influence of uncertainty on the historical contribution of monetary stimuli is shown to be empirically relevant.

Keywords: Monetary policy shocks; Non-linear structural vector auto-regressions; Interacted-VAR; Generalized impulse response functions; Historical decomposition; Uncertainty (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (87)

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Working Paper: Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:162:y:2018:i:c:p:177-181

DOI: 10.1016/j.econlet.2017.10.006

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