Artikel
Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model
This paper examines the transmission of monetary policy in Switzerland using a structural vector error correction model (SVECM) that includes real money, real output, a long and short-term interest rate, inflation and the exchange rate as endogenous variables; and a foreign interest rate and oil prices as exogenous variables. The SVECM takes account of five cointegrating relations that are interpreted as capturing money demand, the real interest rate, the term spread, uncovered interest parity and an aggregate-demand schedule. After identifying a monetary policy shock, the model is used for impulse-response analysis. We find that including money in the model eliminates the price puzzle often found in the VAR literature. Moreover, it produces monetary policy shocks that are about three times smaller and much less persistent as in versions of the model without money. In addition, the long-run structure imposed by cointegration leads to a quicker return to equilibrium after a shock.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 144 ; Year: 2008 ; Issue: 2 ; Pages: 197-246 ; Heidelberg: Springer
- Klassifikation
-
Wirtschaft
Money and Interest Rates: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Monetary transmission
structural vector error correction model
- Ereignis
-
Geistige Schöpfung
- (wer)
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Assenmacher-Wesche, Katrin
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer
- (wo)
-
Heidelberg
- (wann)
-
2008
- DOI
-
doi:10.1007/BF03399253
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Assenmacher-Wesche, Katrin
- Springer
Entstanden
- 2008
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