Monetary Policy Shocks in the Euro Area and Global Liquidity Spillovers

No 629, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research Department

Abstract: We analyse the international transmission of monetary policy shocks with a focus on the effects of foreign liquidity on the euro area. We estimate two domestic structural VAR models for the euro area and then we introduce a global liquidity aggregate. The impulse responses show that a positive shock to foreign liquidity leads for the euro area to a permanent increases in M3 and in the price level, a temporary rise in real output and a temporary appreciation of the euro real effective exchange rate. Moreover, we find that innovations in global liquidity play an important role in explaining price and output fluctuations.

Keywords: Monetary policy; Structural VAR; International spillovers (search for similar items in EconPapers)
JEL-codes: E52 F01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: Written 2007-06
View list of references View citations in EconPapers

Downloads: (external link)
http://www.bancaditalia.it/pubblicazioni/econo/tem ... d629/en_tema_629.pdf (application/pdf)

Related works:
Working Paper: Monetary policy shocks in the euro area and global liquidity spillovers (2004)
Journal Article: Monetary policy shocks in the euro area and global liquidity spillovers (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Temi di discussione (Economic working papers) from Bank of Italy, Economic Research Department
Contact information at EDIRC.
Series data maintained by ().