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

Florian Höppner and Jan Gottschalk

No 1074, Kiel Working Papers from Kiel Institute for the World Economy

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 which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy has had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks and find that monetary policy pursues a counter-cyclical policy in response to demand shocks and, despite considerable lags, is pro-cyclical with regard to supply shocks.

Keywords: Vector Autoregression; Systematic Monetary Policy; Historical De-composition (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 (2)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1074

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