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A VAR description of the effects of monetary policy in the individual countries of the euro area

Benoit Mojon () and Gert Peersman ()

No 92, Working Paper Series from European Central Bank

Abstract: This paper presents a complete set of results describing the effects of monetary policy in 10 countries of the euro area for the pre-EMU period. For each country, we impose one of three identification schemes depending on its monetary integration with Germany, the nominal anchor of the ERM. The first identification scheme applies to Germany, the second to countries of the core EMS (Austria, Belgium and the Netherlands) and the third to all the other countries. An unexpected rise in the short-term interest rate leads to a decrease in GDP, (with investment and exports falling more than consumption) and a gradual decrease in prices for all countries. We also show that, given the width of the error bands around the estimate, we cannot reject that the effects of monetary policy on GDP and on prices are broadly similar in the individual countries of the euro area JEL Classification: E52

Keywords: euro area countries; monetary policy; VARs (search for similar items in EconPapers)
Date: 2001-12
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:200192

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