The Asymmetric Effects of a Common Monetary Policy in Europe

Guglielmo Maria Caporale and Alaa Soliman ()

Journal of Economic Integration, 2009, vol. 24, 455-475

Abstract: This paper examines the monetary transmission mechanism in six EU member states. It provides useful empirical evidence for assessing the impact of a common monetary policy in the early stages of EMU, and enables us to form a view on how the regime change represented by EMU is likely to be translated into changes in policy multipliers in the various EU countries. The empirical analysis applies techniques recently developed by Wickens and Motto (2001) for identifying shocks by estimating a VECM for the endogenous variables, and a stationary VAR in first differences for the exogenous variables. Our findings suggest that there are significant differences between EU countries in the transmission mechanism of monetary policy.

Keywords: monetary shocks; asymmetries; common monetary policy; identification; VECM; VAR (search for similar items in EconPapers)
JEL-codes: C32 E40 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: THE ASYMMETRIC EFFECTS OF A COMMON MONETARY POLICY IN EUROPE (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0482

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