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Title:Monetary analysis: a VAR perspective PDF Logo
Authors:Gerdesmeier, Dieter
Roffia, Barbara
Issue Date:2007
Series/Report no.:Working paper series // Frankfurt School of Finance & Management 78
Abstract:The purpose of this study is to investigate the dynamic relationships between some key variables for the euro area by means of a systems approach (i.e. so-called Vector Autoregression) and to simulate their responses with respect to monetary policy shocks. The main result is that rather simple models can provide plausible reactions to changes in monetary policy. In particular, a positive shock in the short-term nominal interest rate is followed by a transitory decline in real income as well as a negative and permanent effect on the price level and nominal M3, leaving real M3 broadly unchanged.
Subjects:Monetary analysis
VAR models
generalized impulse response functions
JEL:E52
F21
Persistent Identifier of the first edition:urn:nbn:de:101:1-20080827204
Document Type:Working Paper
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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