Global Monetary Policy Shocks in the G5: A Svar Approach

25 Pages Posted: 13 Feb 2007

Date Written: February 2007


The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends.

Keywords: Monetary policy, Structural VAR, Global economy

JEL Classification: E52, F01

Suggested Citation

Sousa, Joao Miguel and Zaghini, Andrea, Global Monetary Policy Shocks in the G5: A Svar Approach (February 2007). CEIS Working Paper No. 93, Available at SSRN: or

Joao Miguel Sousa (Contact Author)

Bank of Portugal ( email )

Rua Francisco Ribeiro, 2
Lisbon, 1150-165

Andrea Zaghini

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics