Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of The Exchange Rate
Frank Smets
Swiss Journal of Economics and Statistics (SJES), 1997, vol. 133, issue III, 597-616
Abstract:
In the identified VAR literature the role of the exchange rate in measuring monetary policy shocks has often been neglected. However, many open economies find it useful to target the exchange rate. In such a regime exchange rate innovations will better capture domestic monetary policy shocks. This paper first estimates the weight on the ECU exchange rate in France, Germany and Italy under the ERM regime. Next, these weights are used to identify a typical monetary policy shock in these countries and analyse its effects on output, inflation, the interest rate and the exchange rate.
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (45)
Downloads: (external link)
http://www.sjes.ch/papers/1997-III-16.pdf (application/pdf)
Related works:
Working Paper: Measuring monetary policy shocks in France, Germany and Italy: The role of the exchange rate (1997) 
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:ses:arsjes:1997-iii-16
Access Statistics for this article
Swiss Journal of Economics and Statistics (SJES) is currently edited by Marius Brülhart
More articles in Swiss Journal of Economics and Statistics (SJES) from Swiss Society of Economics and Statistics (SSES) Contact information at EDIRC.
Bibliographic data for series maintained by Kurt Schmidheiny ().