Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area

Giovanni Pellegrino

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

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.

Keywords: Monetary policy shocks; Non-Linear Structural Vector Auto-Regressions; Interacted-VAR; Generalized Impulse Response Functions; uncertainty (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Pages: 16pp
Date: 2017-06
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Uncertainty and the real effects of monetary policy shocks in the Euro area (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:iae:iaewps:wp2017n15

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