Information from Financial Markets and VAR Measures of Monetary Policy

Universita Bocconi, Innocenzo Gasparini Institute for Economic Research Working Paper No.135

16 Pages Posted: 28 Sep 1998

See all articles by Carlo A. Favero

Carlo A. Favero

Bocconi University - Department of Finance; Centre for Economic Policy Research (CEPR)

Fabio C. Bagliano

University of Turin - Department of Economics and Statistics; Center for Research on Pensions and Welfare Policies (CeRP); University of Turin - Collegio Carlo Alberto

Date Written: September 1998

Abstract

Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (U.S.) and open (U.S.-Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical analysis confirms the main features of the monetary policy transmission mechanism in U.S. and Germany, explicitly addressing the issue of simultaneity between the German policy interest rate and the U.S. dollar-DMark exchange rate.

JEL Classification: E44, E52, F41

Suggested Citation

Favero, Carlo A. and Bagliano, Fabio C., Information from Financial Markets and VAR Measures of Monetary Policy (September 1998). Universita Bocconi, Innocenzo Gasparini Institute for Economic Research Working Paper No.135, Available at SSRN: https://ssrn.com/abstract=131446 or http://dx.doi.org/10.2139/ssrn.131446

Carlo A. Favero (Contact Author)

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

HOME PAGE: http://www.igier.unibocconi.it\favero

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Fabio C. Bagliano

University of Turin - Department of Economics and Statistics ( email )

C. so Unione Sovietica, 218 Bis
Torino, I-10134
Italy
+39 011 670 6084 (Phone)
+39 011 670 6062 (Fax)

HOME PAGE: http://web.econ.unito.it/bagliano

Center for Research on Pensions and Welfare Policies (CeRP) ( email )

Via Real Collegio, 30
Moncalieri, Turin 10024
Italy

University of Turin - Collegio Carlo Alberto ( email )

via Real Collegio 30
Moncalieri, Torino 10024
Italy

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