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
Englisch

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

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

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

Handle
Last update
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

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