The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis (Mtn Conference Paper)

37 Pages Posted: 9 Apr 2003

See all articles by Gert Peersman

Gert Peersman

Ghent University - Department of Financial Economics

Frank Smets

European Central Bank (ECB); KU Leuven - Center for Economic Studies

Date Written: December 2001

Abstract

This paper applies the identified VAR methodology to synthetic euro area data from 1980 till 1998 to study the macro-economic effects of an unexpected change in monetary policy in the euro area. The focus is on the area-wide monetary transmission. It is shown that the overall macro-economic effects of a monetary policy shock in the euro area are very similar to those estimated for the United States and are surprisingly stable over time. In addition, the paper contains a number of robustness checks with alternative identification schemes and examines how various real and financial variables (such as the GDP or money components) respond to an area-wide monetary policy impulse.

Keywords: Monetary transmission mechanism, vector autoregressions

JEL Classification: E52

Suggested Citation

Peersman, Gert and Smets, Frank, The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis (Mtn Conference Paper) (December 2001). Available at SSRN: https://ssrn.com/abstract=356269

Gert Peersman (Contact Author)

Ghent University - Department of Financial Economics ( email )

W. Wilsonplein 5D
Ghent, 9000
Belgium
+3292643514 (Phone)

HOME PAGE: www.feb.ugent.be/fineco/gert.html

Frank Smets

European Central Bank (ECB) ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany
+49 69 1344 6550 (Phone)
+49 69 1344 6575 (Fax)

KU Leuven - Center for Economic Studies ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

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