Arbeitspapier
Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy
This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane yielding the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks. We find that monetary policy pursues a counter-cyclical policy in response to demand shocks and is pro-cyclical with regard to supply shocks, even though there are considerable lags.
- Language
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Englisch
- Bibliographic citation
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Series: Bonn Econ Discussion Papers ; No. 21/2001
- Classification
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Wirtschaft
Monetary Policy
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Subject
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Vector Autoregression
Systematic Monetary Policy
Historical Decomposition
- Event
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Geistige Schöpfung
- (who)
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Gottschalk, Jan
Höppner, Florian
- Event
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Veröffentlichung
- (who)
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University of Bonn, Bonn Graduate School of Economics (BGSE)
- (where)
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Bonn
- (when)
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2001
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Gottschalk, Jan
- Höppner, Florian
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Time of origin
- 2001