ESSEC Working Papers
The role of money and monetary policy in crisis periods: the Euro area case
() and André Fourçans
Abstract: In this paper, we test two models of the Eurozone, with a
special emphasis on the role of money and monetary policy during crises.
The role of separability between money and consumption is investigated
further and we analyse the Euro area economy during three different crises:
1992, 2001 and 2007. We find that money has a rather significant role to
play in explaining output variations during crises whereas, at the same
time, the role of monetary policy on output decreases significantly.
Moreover, we find that a model with non-separability between consumption
and money has better forecasting performance than a baseline separable
model over crisis periods.
Keywords: Euro area; Money; DSGE forecasting; (follow links to similar papers)
JEL-Codes: E31; E51; E58; (follow links to similar papers)
34 pages, February 1, 2012, Revised February 27, 2012
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