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
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: Suggested Citation