Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises

37 Pages Posted: 14 Dec 2017

Date Written: April 21, 2017

Abstract

In this paper, we test two models of the Eurozone, with a special emphasis on the role of money and monetary policy during crises. The role of separability between money and consumption is investigated further and we analyse the Euro area economy during three different crises: 1992, 2001 and 2007. We find that money has a rather significant role to play in explaining output variations during crises whereas, at the same time, the role of monetary policy on output decreases significantly. Moreover, we find that a model with non-separability between consumption and money has better forecasting performance than a baseline separable model over crisis periods.

Keywords: Money, Monetary Policy, Dynamic Stochastic General Equilibrium, Crises

JEL Classification: E31, E32, E51, E58

Suggested Citation

Benchimol, Jonathan and André, Fourçans, Money and Monetary Policy in the Eurozone: An Empirical Analysis During Crises (April 21, 2017). Macroeconomic Dynamics, Vol. 21, No. 3, Pages 677-707, April 2017. Available at SSRN: https://ssrn.com/abstract=3085451

Jonathan Benchimol (Contact Author)

Bank of Israel ( email )

Bank of Israel Street
P.O. Box 780
Jerusalem, Jerusalem 91907
Israel
+972-2-6552641 (Phone)
+972-2-6669407 (Fax)

HOME PAGE: http://www.jonathanbenchimol.com/

Fourçans André

ESSEC Business School ( email )

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