The transmission of monetary shocks in the euro area: a V AR analysis based on euro-wide data

Jan Kakes and Sitikantha Pattanaik

BNL Quarterly Review, 2000, vol. 53, issue 213, 171-186

Abstract: Using area-wide data, we simulate the responses of inflation and real output following monetary shocks in the EMU. We find that short-term interest rate shocks have a significant impact on real activity, but hardly on prices. M3 shows a perverse short-term response to a monetary contraction, which should be taken into account when interpreting the reference value of money growth (the "first pillar" of the Eurosystem's monetary strategy). Shocks to the effective exchange rate have a rapid impact on prices, money growth and real activity. As the exchange rate itself is hardly affected by monetary policy shocks, though, there is little scope for an exchange rate policy. Rather, these findings underscore the important role that the exchange rate should play as an information variable within the "second pillar" of the monetary strategy.

Keywords: EMU; Interest Rates; Interest; Monetary; Money (search for similar items in EconPapers)
JEL-codes: E52 F36 N1 (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/10350/10255 (application/pdf)

Related works:
Journal Article: The transmission of monetary shocks in the euro area: a V AR analysis based on euro-wide data (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:psl:bnlaqr:2000:23

Ordering information: This journal article can be ordered from
http://www.economiacivile.it

Access Statistics for this article

BNL Quarterly Review is currently edited by Alessandro Roncaglia

More articles in BNL Quarterly Review from Banca Nazionale del Lavoro
Bibliographic data for series maintained by Carlo D'Ippoliti ().