The international transmission of euro area monetary policy shocks

Arbeitspapier

This paper analyzes the international transmission effects of euro area monetary policy shocks in to other western European countries, namely the United Kingdom, Sweden, Switzerland, Denmark, and Norway. For this purpose, we use a structural VAR model of the euro area and augment it consecutively by the foreign variables of interest. We find that a monetary policy shock in the euro area leads to a largely similar change in the interest rate and in GDP in these other western European countries. The effects on their exchange rates are limited and their trade balances usually are unaffected. Our results suggest that the income absorption effect to be more important than the expenditure switching effect in the international transmission of monetary policy and that exchange rate stabilization seems to be of some concern to monetary policy makers in small open economies.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1718

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy ; Open Economy Macroeconomics
• Subject: Monetary policy ; international transmission ; euro area ; vector autoregression ; Geldpolitik ; Schock ; Europäische Wirtschafts- und Währungsunion ; Zins ; Transmissionsmechanismus ; Eurozone ; Großbritannien ; Schweden ; Schweiz ; Dänemark ; Norwegen

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jannsen, Nils ; Klein, Melanie
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/49390
• Last update: 10.03.2025, 11:44 AM CET