Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy

Jan Gottschalk and Florian Höppner

No 21/2001, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)

Abstract: This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane yielding the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks. We find that monetary policy pursues a counter-cyclical policy in response to demand shocks and is pro-cyclical with regard to supply shocks, even though there are considerable lags.

Keywords: Vector Autoregression; Systematic Monetary Policy; Historical Decomposition (search for similar items in EconPapers)
JEL-codes: C32 C52 E52 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bonedp:212001

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