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 which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy has had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks and find that monetary policy pursues a counter-cyclical policy in response to demand shocks and, despite considerable lags, is pro-cyclical with regard to supply shocks.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1074

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy
• Subject: Vector Autoregression ; Systematic Monetary Policy ; Historical De-composition ; Geldpolitik ; Schock ; Erwartungstheorie ; Wirtschaftspolitische Wirkungsanalyse ; Konjunktur ; Europäische Wirtschafts- und Währungsunion ; VAR-Modell ; Schätzung ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Höppner, Florian ; Gottschalk, Jan
• Event: Veröffentlichung
• (who): Kiel Institute of World Economics (IfW)
• (where): Kiel
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/17886
• Last update: 10.03.2025, 11:45 AM CET