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The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is it Changing over Time?
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Author/Editor: |
Ciccarelli, Matteo | Rebucci, Alessandro |
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March 1, 2002 |
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Electronic Access: |
Free Full Text (PDF file size is 2,094KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
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Summary: 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.
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Series: |
Working Paper No. 02/54 |
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Subject(s): |
Monetary policy | France | Germany | Italy | Spain | European Economic and Monetary Union | Economic policy | Economic models |
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Author's keyword(s): |
Bayesian esstimation | european monetary policy | Gibbs sampling | Heterogeneity | Transmission mechanism |
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Published: |
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March 1, 2002 |
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ISBN/ISSN: |
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1934-7073 |
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Format: |
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Paper |
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Stock No: |
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WPIEA0542002 |
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Pages: |
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42 |
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Price: |
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US$15.00
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Price Delivery Note: |
Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA. |
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