The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone

Lucia M. Murgia

Economics Letters, 2020, vol. 186, issue C

Abstract: This paper investigates how European Central Bank (ECB) monetary policy shocks impact industrial production (output) and inflation (prices). I gather a novel dataset of macroeconomic forecasts, and using a narrative approach, I construct a new measure of monetary policy shocks. Industrial production responds to an unpredictable positive monetary policy shock of 100 basis points with a decline of over 0.5%. On the contrary, inflation responds weakly with a very modest decrease of 0.05%.

Keywords: Monetary policy; Narrative identification; Macroeconomic forecasts (search for similar items in EconPapers)
JEL-codes: E31 E37 E52 E58 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304070

DOI: 10.1016/j.econlet.2019.108803

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