The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is it Changing over Time?
IMF Working Papers, March 1, 2002
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Bibliographic details
- Authors: Matteo Ciccarelli, Alessandro Rebucci
- Published: March 1, 2002
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451847529.001
Authors and Publication
- By Matteo Ciccarelli, Alessandro Rebucci
- March 1, 2002
- IMF Working Papers, Series: Working Paper No. 2002/054
- Volume: 2002; Issue: 054; Pages: 42
- DOI: https://doi.org/10.5089/9781451847529.001
- Stock No: WPIEA0542002
- ISBN: 9781451847529
- ISSN: 1018-5941
Research Question and Scope
- Investigates the transmission mechanism of monetary policy in the four largest euro area countries using Bayesian estimation of dynamic econometric models.
- Countries analyzed: Germany, France, Italy, Spain.
- Focus: pre-EMU evidence and changes in the run-up to EMU, with attention to heterogeneity and timing of effects.
Methodology
- Empirical approach: Bayesian estimation of dynamic econometric models.
- Estimation tools and concepts cited: Bayesian estimation, Gibbs sampling, posterior distribution, time series.
- Analytical focus: monetary policy shocks, parameters of the transmission mechanism, impact timing and cumulative effects.
Key Findings
- Timing heterogeneity:
- There are differences in the timing of the effects of monetary policy on economic activity across Germany, France, Italy, and Spain.
- Cumulative impact:
- The cumulative impact after two years is rather homogeneous across the four countries.
- Evolution over time:
- The transmission mechanism seems to have changed over time in the run-up to EMU.
- The degree of heterogeneity has not decreased despite changes over time.
- European-wide dynamics:
- The "European-wide" effects of monetary policy may have become faster in the second half of the 1990s.
- Interpretation:
- The authors conjecture that the transmission mechanism of monetary policy had already become relatively homogenous in the second part of the 1990s.
Subjects and Keywords (as listed)
- Subjects: Econometric analysis, Econometric models, Exchange rates, Financial services, Foreign exchange, Monetary policy, Monetary policy instruments, Monetary transmission mechanism, Short term interest rates
- Keywords: Bayesian estimation, Econometric models, Europe, European monetary policy, Exchange rates, Gibbs sampling, Heterogeneity, impact of monetary policy, Monetary policy instruments, monetary policy objective, monetary policy parameter, monetary policy shock, Monetary transmission mechanism, parameters of the transmission mechanism, posterior distribution, Short term interest rates, time series, transmission mechanism, transmission mechanism of monetary policy, WP
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- Disclaimer included on the page: "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."
Source: IMF Working Paper — "The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is it Changing over Time?", Matteo Ciccarelli and Alessandro Rebucci, March 1, 2002.