Changing monetary transmission mechanisms within the EU

被引：3

作者：

Juselius K. ^{[1
,2
]}

机构：

[1] Institute of Economics, University of Copenhagen

[2] European University Institute, Economics Department, Via die Roccettini 9

来源：

Empirical Economics | 1998年 / 23卷 / 3期

关键词：

Cointegration; long-run impact; money demand; monetary policy; capital liberalization; C32; E41; E52;

D O I：

10.1007/BF01294418

中图分类号：

学科分类号：

摘要：

The paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the 'second ERM' in March 1983. The empirical model investigates the determination of money, income, prices, and interest rates in Germany, Denmark, and Italy based on the cointegrated VAR model. It provides empirical results on the macroeconomic effects of joining the ERM and financial deregulation.

引用

页码：455 / 481

页数：26

共 10 条

[1] Gennari, E., Juselius, K., (1998) Monetary Transmission Mechanisms in Italy, , Unpublished manuscript at the European University Institute
[2] Hansen, H., Johansen, S., (1993) Recursive Estimation in Cointegrated VAR-models, , Preprint 1, Institute of Mathematical Statistics, University of Copenhagen
[3] Hansen, H., Juselius, K., CATS in RATS (1994) Manual to Cointegration Analysis of Time Series, , Estima, Evanstone, IL
[4] Hendry, D.F., Mizon, G.E., Evaluating econometric models by encompassing the VAR (1993) Models, Methods and Applications of Econometrics, , Phillips PC (ed.), Basil Blackwell, Oxford
[5] Johansen, S., Juselius, K., Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992) Journal of Econometrics, 53, pp. 211-244
[6] Juselius, K., An empirical analysis of the changing role of the German Bundesbank after 1983 (1996) Oxford Bulletin of Economics and Statistics, 58, pp. 791-819
[7] Juselius, K., A structured VAR under changing monetary policy (1998) Journal of Business and Economic Statistics
[8] Kenen, P.B., (1995) Economic and Monetary Union in Europe, , Cambridge University Press
[9] Laidler, D.E.W., The demand for money (1985) Theories and Evidence, , Harper and Row. New York
[10] Paruolo, P., Asymptotic inference on the moving average impact matrix in cointegrated 1(1) VAR systems (1997) Econometric Theory, 13, pp. 79-118

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