Has the Transmission Mechanism of Euro Monetary Policy Changed in the Run-Up to Emu?

51 Pages Posted: 30 Sep 2004

See all articles by Matteo Ciccarelli

Matteo Ciccarelli

European Central Bank (ECB)

Alessandro Rebucci

Johns Hopkins University - Carey Business School; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: September 2004

Abstract

This Paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogenous coefficient models estimated in a numerical Bayesian fashion. Based on pre-EMU evidence from Germany, France, Italy, and Spain, we find that (i) the long-run cumulative impact on output of a common, homoskedastic monetary policy shock has decreased in all countries after 1991. These declines are statistically significant and accompanied by some changes in the conduct of monetary policy over the same period. At the same time, we also find that (ii) cross-country differences in the effects of the shock analyzed have not decreased over time.

Keywords: European monetary policy, Bayesian estimation, Gibbs sampling, time-varying coefficient model, transmission mechanism

JEL Classification: C11, C33, E52

Suggested Citation

Ciccarelli, Matteo and Rebucci, Alessandro, Has the Transmission Mechanism of Euro Monetary Policy Changed in the Run-Up to Emu? (September 2004). Available at SSRN: https://ssrn.com/abstract=598144

Matteo Ciccarelli (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Alessandro Rebucci

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States

HOME PAGE: http://carey.jhu.edu/faculty-research/faculty-directory/alessandro-rebucci-phd

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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