Monetary Policy Shocks and Transmission in Italy: A VAR Analysis

Univ. Pompeu Fabra, Economics and Business Working Paper No. 446

49 Pages Posted: 29 Jul 2000

See all articles by Giuseppe De Arcangelis

Giuseppe De Arcangelis

Sapienza Università di Roma

Giorgio Di Giorgio

Luiss Guido Carli University - Department of Economics and Finance

Abstract

This paper provides updated empirical evidence about the real and nominal effects of monetary policy in Italy, by using structural VAR analysis. We discuss different empirical approaches that have been used in order to identify monetary policy exogenous shocks. We argue that the data support the view that the Bank of Italy, at least in the recent past, has been targeting the rate on overnight interbank loans. Therefore, we interpret shocks to the overnight rate as purely exogenous monetary policy shocks and study how different macroeconomic variables react to such shocks.

JEL Classification: E52

Suggested Citation

De Arcangelis, Giuseppe and Di Giorgio, Giorgio, Monetary Policy Shocks and Transmission in Italy: A VAR Analysis. Univ. Pompeu Fabra, Economics and Business Working Paper No. 446, Available at SSRN: https://ssrn.com/abstract=224585 or http://dx.doi.org/10.2139/ssrn.224585

Giuseppe De Arcangelis (Contact Author)

Sapienza Università di Roma ( email )

Dipartimento di Scienze Sociali ed Economiche
P.le Aldo Moro 5
Rome, 00185
Italy
+390649910489 (Phone)

HOME PAGE: http://https://sites.google.com/a/uniroma1.it?pli=1

Giorgio Di Giorgio

Luiss Guido Carli University - Department of Economics and Finance ( email )

Viale di Villa Massimo, 57
Rome, 00161
Italy

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