The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis (Mtn Conference Paper)

By G. Peersman, Frank Smets. Social Science Research Network, 2001

469 citations recorded by the source corpus.

This paper applies the identified VAR methodology to synthetic euro area data from 1980 till 1998 to study the macro-economic effects of an unexpected change in monetary policy in the euro area. The focus is on the area-wide monetary transmission. It is shown that the overall macro-economic effects of a monetary policy shock in the euro area are very similar to those estimated for the United States and are surprisingly stable over time. In addition, the paper contains a number of robustness checks with alternative identification schemes and examines how various real and financial variables (such as the GDP or money components) respond to an area-wide monetary policy impulse JEL Classification: E52

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/a621b3644686ac89a4e3bf55d026a62133358246

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In Economics and Econometrics

Citations in the corpus

Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area (2001, unknown): “, by Peersman and Smets (2001).”
The Transmission of Monetary Policy in the Euro Area: Are the Effects Different Across Countries?* (2004, methodology): “8Note that Y 1t and Y 2 t are considered as one block, Yt, in Peersman and Smets (2001).”
The real effects of financial stress in the Eurozone (2013, background): “In addition, the inflation rate is roughly unaffected for 12 quarters, in line with the findings of Peersman and Smets (2003).”
The bank lending channel in Turkey: has it changed after the low-inflation regime? (2012, methodology): “To account for international economic events on the conduct of monetary policy and also get rid of price puzzle in the VAR model, we also employ the following vector of exogenous variables (Peersman and Smets, 2003 ):”
An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35 (2002, unknown): “Our estimates of the effects of a temporary monetary policy shock are in line with the existing evidence for the euro area (e.g., Peersman and Smets 2001).”
Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (2008, unknown): “Interestingly, the VAR results for individual countries in Mojon and Peersman (2001) and for the euro area in Peersman and Smets (2001) show a similar phenomenon: output responses to monetary policy shock die out in all countries except France, but in the estimation on the euro area data they are…”