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Title:Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy PDF Logo
Authors:Höppner, Florian
Gottschalk, Jan
Issue Date:2001
Series/Report no.:Kieler Arbeitspapiere 1074
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.
Subjects:Vector Autoregression
Systematic Monetary Policy
Historical De-composition
JEL:C52
C32
E52
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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