The Effect of Joining the EMS: Monetary Transmission Mechanisms in Spain

Katarina Juselius and Juan Toro
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Juan Toro: European University Institute

No 99-22, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: This paper presents a cointegrated VAR analysis of monetary transmission mechanisms and changes in them after Spain joined the EMS in 1989. Analyses of long-run price homogeneity within the I(2) model turned out to be crucial for understanding the joint behaviour of money, income, prices, and interest rates. The empirical results provide new insight on the macroeconomic effects of joining the EMS and financial deregulation.

Keywords: cointegration; long-run impact; money demand; IS-LM; monetary policy; capital liberalization (search for similar items in EconPapers)
JEL-codes: C3 C5 E5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
Date: 1999-09
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