Arbeitspapier
Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches
This paper investigates the transmission of monetary policy in the euro area based on the factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz (2005) as well as on a standard VAR model. We focus on the reaction of monetary aggregates to a one-off monetary policy shock. We find that - as theory suggests - money growth is dampened by a restrictive monetary policy stance in the longer term. In the short-run, however, M3 growth may increase due to portfolio shifts caused by the rise in the short-term interest rate. This has consequences for the interpretation of money growth as an input for monetary policy decisions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2009,18
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Money and Interest Rates: General
Monetary Policy
- Thema
-
Monetary policy transmission
FAVAR
VAR
money stock
euro area.
Geldpolitik
Transmissionsmechanismus
Geldmenge
Europäische Wirtschafts- und Währungsunion
VAR-Modell
Schätzung
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blaes, Barno
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:44 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
- Blaes, Barno
- Deutsche Bundesbank
Entstanden
- 2009
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