Arbeitspapier
Global monetary policy shocks in the G5: A SVAR approach
The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2006/30
- Klassifikation
-
Wirtschaft
Monetary Policy
Global Outlook
- Thema
-
Monetary Policy
Structural VAR
Global Economy
Geldpolitik
Schock
VAR-Modell
Weltmodell
G-5-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sousa, Joao Miguel
Zaghini, Andrea
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- URN
-
urn:nbn:de:hebis:30-38048
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sousa, Joao Miguel
- Zaghini, Andrea
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2006
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