Kiel Working Papers, Kiel Institute for World Economics
No 1074:
Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy
Jan Gottschalk and Florian Höppner
Abstract: 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.
Keywords: Vector Autoregression, Systematic Monetary Policy, Historical De-composition; (follow links to similar papers)
JEL-Codes: E52; C32; C52; (follow links to similar papers)
82 pages, August 2001
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