Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/318156 
Year of Publication: 
2019
Series/Report no.: 
BCAM Working Paper No. 1903
Publisher: 
Birkbeck, University of London, Birkbeck Centre for Applied Macroeconomics (BCAM), London
Abstract: 
This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did not join. The analysis constructs counterfactuals using both single equation models and a six equation vector autoregression with foreign exogenous variables, VARX*, explaining output, inflation, equity prices, exchange rates and short and long interest rates. It considers which equations changed the most and the most likely dates for any structural break.
Subjects: 
euro
structural-breaks
GVAR
JEL: 
C5
E5
F4
Document Type: 
Working Paper

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