Information from financial markets and VAR measures of monetary policy

被引：33

作者：

Bagliano, FC

Favero, CA

机构：

[1] Univ Turin, Dipartimento Sci Econ & Finanziarie, I-10134 Turin, Italy

[2] Univ L Bocconi, I-20136 Milan, Italy

[3] Ctr Econ Policy & Res, London, England

来源：

EUROPEAN ECONOMIC REVIEW | 1999年 / 43卷 / 4-6期

关键词：

monetary policy; VAR models; exchange rates; implicit forward rate curve;

D O I：

10.1016/S0014-2921(98)00097-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: E44; E52; F41.

引用

页码：825 / 837

页数：13

共 19 条

[1]

[Anonymous], TOPICS STRUCTURAL VA

[2] Measuring monetary policy with VAR models: An evaluation [J].