Transmission of monetary policy in the US and EU in times of expansion and crisis

Fructuoso Borrallo Egea and Luis Hierro

Journal of Policy Modeling, 2019, vol. 41, issue 4, 763-783

Abstract: In this work, the effectiveness of monetary policy and its transmission channels are analyzed before and after the 2007 economic crisis in the United States and the Eurozone by using a VAR model. We find that, in the United States, monetary policy before and after the crisis have been effective, with special emphasis on the “risk channel”. In the Eurozone, monetary policy was also effective before the crisis, being transmitted through the “credit channel”. Once the crisis erupted, unconventional monetary policy remained effective only at the start of the crisis; the risk channel then became the effective transmission mechanism.

Keywords: Monetary policy; Transmission channels; Autoregressive vectors (search for similar items in EconPapers)
JEL-codes: E51 E52 E58 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:41:y:2019:i:4:p:763-783

DOI: 10.1016/j.jpolmod.2019.02.012

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