New Macroeconomic Evidence on Monetary Policy Transmission in the Euro Area

Autor:	Benoit Mojon, Julian Morgan, Alberto Locarno, Peter van Els
Rok vydání:	2003
Předmět:	Credit channel Macroeconomics Macroeconomic model Exchange rate Interest rate parity Real gross domestic product Short run Inflation targeting Monetary policy Economics Monetary economics General Economics Econometrics and Finance
Zdroj:	Journal of the European Economic Association. 1:720-730
ISSN:	1542-4774 1542-4766
DOI:	10.1162/154247603322391341
Popis:	This paper presents some new macroeconomic evidence on the transmission mechanism of monetary policy in the euro area. The evidence is drawn from a number of collaborative research projects undertaken by the ECB and the National Central Banks (NCBs) of the euro area and utilises a variety of national and euro area aggregate VAR and structural macroeconomic models. A qualitatively similar pattern of results following a monetary policy shock is observed across models, with the maximum output effect typically occurring after 1-2 years. Price effects are somewhat slower to materialise and are more persistent. According to both sets of results, investment is the main (domestic) contributor to the drop in real GDP. This contrasts with findings for the US where consumption plays a dominant role in the transmission process. In addition, if it assumed that the exchange rate moves in line with an Uncovered Interest Parity (UIP) condition, the short run output and price effects are largely driven by this channel in the structural macroeconomic models. JEL classifications: C50, C52, E52, E17, E5
Databáze:	OpenAIRE
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