Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area

16 Pages Posted: 13 Jun 2017

See all articles by Giovanni Pellegrino

Giovanni Pellegrino

University of Melbourne - Melbourne Institute: Applied Economic & Social Research

Date Written: June 12, 2017

Abstract

This paper estimates a nonlinear Interacted-VAR model to investigate whether the effectiveness of monetary policy shocks in the Euro area is influenced by the level of European uncertainty. Generalized Impulse Response Functions à la Koop et al. (1996) suggest that the peak and cumulative effects of monetary policy shocks are lower during uncertain times than during tranquil times, and significantly so once times of very high and very low uncertainty are considered.

Keywords: Monetary Policy Shocks, Non-Linear Structural Vector Auto-Regressions, Interacted-VAR, Generalized Impulse Response Functions, Uncertainty

JEL Classification: C32, E32, E52

Suggested Citation

Pellegrino, Giovanni, Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area (June 12, 2017). Melbourne Institute Working Paper No. 15/17, Available at SSRN: https://ssrn.com/abstract=2985231 or http://dx.doi.org/10.2139/ssrn.2985231

Giovanni Pellegrino (Contact Author)

University of Melbourne - Melbourne Institute: Applied Economic & Social Research ( email )

Level 5, FBE Building, 111 Barry Street
Parkville, Victoria 3010
Australia

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