EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25496
  
Title:Global monetary policy shocks in the G5: A SVAR approach PDF Logo
Authors:Sousa, Joao Miguel
Zaghini, Andrea
Issue Date:2006
Series/Report no.:CFS Working Paper 2006/30
Abstract:The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends.
Subjects:Monetary Policy
Structural VAR
Global Economy
JEL:E52
F01
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-38048
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
527430552.PDF445.02 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/25496

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.