Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bonn Econ Discussion Papers ; No. 21/2001

Classification and Topics

• Classification: 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: Vector Autoregression ; Systematic Monetary Policy ; Historical Decomposition

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gottschalk, Jan ; Höppner, Florian
• Event: Veröffentlichung
• (who): University of Bonn, Bonn Graduate School of Economics (BGSE)
• (where): Bonn
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/78379
• Last update: 10.03.2025, 11:43 AM CET