Has the transmission mechanism of European monetary policy changed in the run-up to EMU?

被引：21

作者：

Ciccarelli, M

Rebucci, A

机构：

[1] DG Res, European Cent Bank, D-60311 Frankfurt, Germany

[2] Int Monetary Fund, Res Dept, Washington, DC 20431 USA

来源：

EUROPEAN ECONOMIC REVIEW | 2006年 / 50卷 / 03期

关键词：

European monetary policy; Bayesian estimation; Gibbs sampling; time-varying coefficient model; transmission mechanism;

D O I：

10.1016/j.euroecorev.2005.01.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogeneous coefficient models estimated in a numerical Bayesian fashion. Based on pre-European Monetary Union evidence from Germany, France, Italy, and Spain, we find that (i) the long-run cumulative impact on output of a common, homoskedastic monetary policy shock has decreased in all countries after 1991. These declines are statistically significant and accompanied by some changes in the conduct of monetary policy over the same period. At the same time, we also find that (ii) cross-country differences in the effects of this shock have not decreased over time. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：737 / 776

页数：40

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