Monetary policy shocks and transmission in Italy: A VAR analysis

Giuseppe De Arcangelis and Giorgio Di Giorgio

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper provides updated empirical evidence about the real and nominal effects of monetary policy in Italy, by using structural VAR analysis. We discuss different empirical approaches that have been used in order to identify monetary policy exogenous shocks. We argue that the data support the view that the Bank of Italy, at least in the recent past, has been targeting the rate on overnight interbank loans. Therefore, we interpret shocks to the overnight rate as purely exogenous monetary policy shocks and study how different macroeconomic variables react to such shocks.

Keywords: Monetary policy shocks and indicators; structural VAR (search for similar items in EconPapers)
JEL-codes: E52 (search for similar items in EconPapers)
Date: 1999-12
New Economics Papers: this item is included in nep-ets and nep-mon
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:446

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