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Discussion Paper Series 1: Economic Studies, Bundesbank >
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http://hdl.handle.net/10419/27744
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| Title: | | Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches  |
| Authors: | | Blaes, Barno |
| Issue Date: | | 2009 |
| Series/Report no.: | | Discussion Paper Series 1: Economic Studies 2009,18 |
| Abstract: | | This paper investigates the transmission of monetary policy in the euro area based on the factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz (2005) as well as on a standard VAR model. We focus on the reaction of monetary aggregates to a one-off monetary policy shock. We find that - as theory suggests - money growth is dampened by a restrictive monetary policy stance in the longer term. In the short-run, however, M3 growth may increase due to portfolio shifts caused by the rise in the short-term interest rate. This has consequences for the interpretation of money growth as an input for monetary policy decisions. |
| Subjects: | | Monetary policy transmission FAVAR VAR money stock euro area. |
| JEL: | | C32 E40 E52 |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Bundesbank
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