Asymmetric Monetary Transmission in EMU: The Robustness of VAR Conclusions and Cecchetti’s Legal Family Theory

Adam Elbourne (), Jakob de Haan and Jakob de Haan
Authors registered in the RePEc Author Service: Jakob de Haan

No 1327, CESifo Working Paper Series from CESifo

Abstract: We review studies on monetary transmission in the EU countries using the VAR approach and analyse why they often lead to divergent outcomes. Firstly, we estimate 43 VAR models across ten EU countries and compare the robustness of the ranking of the magnitudes of the price and output responses. The main specification differences between the VAR models are the use of two different sample periods; the inclusion of additional variables; and the use of recursive, long run, and structural identification schemes. Secondly, we calculate rank correlations between the output and price responses of a recursive VAR and a structural VAR to the financial structure indicators used by Cecchetti (1999), who argued that legal systems cause financial structure, which in turn causes asymmetric transmission. In contrast to Cecchetti, we find that there is little correlation.

Keywords: monetary transmission; VAR models; EMU (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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