Asymmetric Monetary Policy Effects in Emu

University of Bonn, ZEI Working Paper No. B04-2002

27 Pages Posted: 20 Mar 2002

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Volker Clausen

University of Duisburg-Essen - Faculty of Economic Science

Date Written: March 2002

Abstract

This paper uses a semi-structural dynamic modelling approach to investigate asymmetric monetary transmission in Europe. A system of equations containing reaction functions for monetary policy, output and inflation equations is simultaneously estimated for France, Germany, and Italy. Extensive cross equation tests show that relatively large differences in simulated impulse responses are still consistent with the notion that the transmission mechanism is homogeneous across the three major EMU countries. However, monetary policy impulses show a relatively stronger effect on the output gap in Italy and Germany. Out-of-sample tests do not find a structural break in the transmission mechanisms prior to EMU.

Keywords: European Monetary Union, Monetary Policy, Semi-structural modelling

JEL Classification: E52, F41

Suggested Citation

Hayo, Bernd and Clausen, Volker, Asymmetric Monetary Policy Effects in Emu (March 2002). University of Bonn, ZEI Working Paper No. B04-2002. Available at SSRN: https://ssrn.com/abstract=304045 or http://dx.doi.org/10.2139/ssrn.304045

Bernd Hayo (Contact Author)

University of Marburg - School of Business & Economics ( email )

Universitaetsstr. 24
Marburg, D-35032
Germany
++49(0)6421-28-23091 (Phone)
++49(0)6421-28-23193 (Fax)

Volker Clausen

University of Duisburg-Essen - Faculty of Economic Science ( email )

FB5- International Economics Universitaetsstr. 12
45117 Essen
Germany
+49 201 183-3655 (Phone)
+49 201 183-3974 (Fax)

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