Information from financial markets and VAR measures of monetary policy

Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (US) and open (US–Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical analysis confi...

Full description

Saved in:
Bibliographic Details
Published inEuropean economic review Vol. 43; no. 4; pp. 825 - 837
Main Authors Bagliano, Fabio C., Favero, Carlo A.
Format Journal Article
LanguageEnglish
Published Amsterdam, etc Elsevier B.V 01.04.1999
Elsevier
North Holland Publishing Company, etc
Elsevier Sequoia S.A
SeriesEuropean Economic Review
Subjects
American dollar
Comparative studies
Correlation analysis
Economic models
Economic theory
Effects
Exchange rates
Foreign exchange rates
Implicit forward rate curve
Interest rates
Monetary policy
Securities markets
VAR models
United States > US
Germany
Exchange rates
F41
E52
E44
Monetary policy
VAR models
Implicit forward rate curve
Online AccessGet full text

Cover

More Information
Summary:Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (US) and open (US–Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical analysis confirms the main features of the monetary policy transmission mechanism in US and Germany, explicitly addressing the issue of simultaneity between the German policy interest rate and the US dollar–DMark exchange rate.
ISSN:0014-2921
1873-572X
DOI:10.1016/S0014-2921(98)00097-X