EconStor >
Deutsche Bundesbank, Forschungszentrum >
Discussion Paper Series 1: Economic Studies, Bundesbank >

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

http://hdl.handle.net/10419/27744
  
Title:Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches PDF Logo
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

Files in This Item:
File Description SizeFormat
605023107.PDF332.75 kBAdobe PDF
No. of Downloads:
last Month last 3 Month total
Show full item record
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/27744

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