| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14190 |
| 来源ID | Working Paper 14190 |
| How Has the Euro Changed the Monetary Transmission? | |
| Jean Boivin; Marc P. Giannoni; Benoît Mojon | |
| 发表日期 | 2008-07-18 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper characterizes the transmission mechanism of monetary shocks across countries of the euro area, documents how this mechanism has changed with the introduction of the euro, and explores some potential explanations. The factor-augmented VAR (FAVAR) framework used is sufficiently rich to jointly model the euro area dynamics while permitting the transmission of shocks to be different across countries. We find important heterogeneity across countries in the effect of monetary shocks before the launch of the euro. In particular, we find that German interest-rate shocks triggered stronger responses of interest rates and consumption in some countries such as Italy and Spain than in Germany itself. According to our estimates, the creation of the euro has contributed 1) to a greater homogeneity of the transmission mechanism across countries, and 2) to an overall reduction in the effects of monetary shocks. Using a structural open-economy model, we argue that the combination of a change in the policy reaction function -- mainly toward a more aggressive response to inflation and output -- and the elimination of an exchange-rate risk can explain the evolution of the monetary transmission mechanism observed empirically. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Households and Firms ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Macroeconomics |
| URL | https://www.nber.org/papers/w14190 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571864 |
| 推荐引用方式 GB/T 7714 | Jean Boivin,Marc P. Giannoni,Benoît Mojon. How Has the Euro Changed the Monetary Transmission?. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14190.pdf（855KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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