The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is it Changing Over Time?

42 Pages Posted: 9 Feb 2006

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: March 2002

Abstract

This paper investigates the transmission mechanism of monetary policy in the four largest euro area countries by means Bayesian estimation of dynamic econometric models. Based on pre-EMU evidence from Germany, France, Italy, and Spain, we show that: (i) there are differences in the timing of the effects of monetary policy on economic activity, but their cumulative impact after two years is rather homogeneous; (ii) the transmission mechanism seems to have changed over time in the run-up to EMU but its degree of heterogeneity has not decreased; (iii) the European-wide effects of monetary policy may have become faster in the second half of the 1990s. We interpret this evidence by conjecturing that the transmission mechanism of monetary policy had already become relatively homogenous in the second part of the 1990s.

Keywords: Bayesian estimation, European monetary policy, Gibbs sampling, Heterogeneity, Transmission mechanism

JEL Classification: E52, C33, C11

Suggested Citation

Ciccarelli, Matteo and Rebucci, Alessandro, The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is it Changing Over Time? (March 2002). IMF Working Paper No. 02/54, Available at SSRN: https://ssrn.com/abstract=879524

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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