Monetary Policy Shocks and Transmission in Italy: A VAR Analysis

De Arcangelis, Giuseppe and Di Giorgio, Giorgio (1999) Monetary Policy Shocks and Transmission in Italy: A VAR Analysis. [Working Paper]. p. 49. Economics Working Papers (No. 446). (Submitted)

[img]
Preview
PDF (Full text) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
613Kb

Official URL: http://www.econ.upf.edu/docs/papers/downloads/446....

Related URLs:

Abstract/Index

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.


Item Type:Report / Paper (Working Paper)
Research documents and activity classification:Working Papers > Non-Refereed Working Papers / of national relevance only
Divisions:Department of Business and Management
Additional Information:Paper presented at the 9th edition of the Conference “Ricerche Quantitative per la Politica Economica”, sponsored by the Bank of Italy and CIDE, Perugia, 15th-18th December 1999.
Uncontrolled Keywords:Monetary Policy Shocks and Indicators, Structural VAR
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-P/01 Political Economy
Deposited By:Maria Teresa Nistico
Deposited On:23 Nov 2010 08:59
Last Modified:23 Nov 2010 08:59

Repository Staff Only: item control page