Monetary analysis: a VAR perspective

Dieter Gerdesmeier and Barbara Roffia

No 78, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: The purpose of this study is to investigate the dynamic relationships between some key variables for the euro area by means of a systems approach (i.e. so-called Vector Autoregression) and to simulate their responses with respect to monetary policy shocks. The main result is that rather simple models can provide plausible reactions to changes in monetary policy. In particular, a positive shock in the short-term nominal interest rate is followed by a transitory decline in real income as well as a negative and permanent effect on the price level and nominal M3, leaving real M3 broadly unchanged.

Keywords: Monetary analysis; VAR models; generalized impulse response functions (search for similar items in EconPapers)
JEL-codes: E52 F21 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (65)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:78

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