The effect of monetary policy on output in EMU3. A sign restriction approach

Journal of Macroeconomics

Volumn 30, Issue 4, 2008, Pages 1756-1791

  Rafiq, M S ^a   Mallick, S K ^b  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Euro area; Monetary shocks; Sign restriction

Indexed keywords

EID: 55349142863     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmacro.2007.12.003     Document Type: Article

References (46)

1. Angeloni I., Kashyap A.K., Mojon B., and Terlizzese D. The output composition puzzle: a difference in the monetary transmission mechanism in the euro area and United States. Journal of Money Credit & Banking 35 6 (2003) 1265-1306
2. Bayoumi, T., Eichengreen, B., 1994. One money or many? Analysing the prospects for monetary unification in various part of the world? Princeton Studies in International Finance no. 76.
3. Bernanke B.S., and Blinder A.S. The federal funds rate and the channels of monetary transmission. American Economic Review 82 4 (1992) 901-927
4. Bernanke B.S., and Mihov I. Measuring monetary policy. The Quarterly Journal of Economics 113 3 (1998) 869-902
5. Bernanke B.S., Gertler M., and Watson M. Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity 1 (1997) 91-157
6. Blanchard O.J., and Quah D. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79 4 (1989) 655-673
7. Bry, G., Boschan, C., 1971. Cyclical analysis of economic time series: selected procedures and computer programs. NBER Technical Working Paper No. 20.
8. Canova F., and Nicoló G.D. Do monetary disturbances matter for business fluctuations in the G-7?. Journal of Monetary Economics 49 6 (2002) 1131-1159
9. Carlino G., and Defina R. The differential regional effects of monetary policy. Review of Economics and Statistics (1998) 572-587
10. Christiano, L.J., Eichenbaum, M., Evans, C.L., 1999. Monetary policy shocks: what have we learned and to what end? In: Taylor, J., Woodford, M. (Eds.), Handbook of Macroeconomics, Vol. 1A, pp. 65-148.
11. Christiano L.J., Eichenbaum M., and Evans C. The effects of monetary policy shocks: evidence from the flow of funds. Review of Economics and Statistics 78 1 (1996) 16-34
12. Clarida R., Gali J., and Gertler M. The science of monetary policy: a new Keynesian perspective. Journal of Economic Literature 37 (1999) 1661-1707
13. Cochrane J.H. Shocks. Carnegie-Rochester Conference Series on Public Policy 41 (1994) 295-364
14. Cover J.P. Asymmetric effects of positive and negative money-supply shocks. Quarterly Journal of Economics 107 (1992) 1261-1282
15. De Grauwe, P., Storti, C.C., 2005. Is monetary policy in the eurozone less effective than in the US?' CESifo Working Paper Series No. 1606, CESifo (Center for Economic Studies and Ifo Institute for Economic Research).
16. De Grauwe, P., Sénégas, M.A., 2003. Transmission Parameter uncertainty and heterogeneity in EMU: which federal monetary policy for the ECB?' CESinfo Working Paper No. 891, CESifo (Center for Economic Studies and Ifo Institute for Economic Research).
17. Eleftheriou, M., Gerdesmeier, D., Roffia, B., 2006. Monetary policy rules in the pre-emu era. Is there a common rule? European Central Bank Working Paper, No. 659.
18. Estrella, A., Mishkin, F.S., 1995. Predicting US recession: financial variables as leading indicators. NBER Working Paper Series, NBER Working Paper No 5379.
19. Faust, J., 1998. The robustness of identified VAR conclusions about money. International Finance Discussion Papers 610, Board of Governors of the Federal Reserve System (US).
20. Frankel J.A., and Rose A.K. The endogeneity of the optimum currency area criteria. Economic Journal 108 449 (1998) 1009-1025
21. Friedman B.M., and Kuttner K.N. Money, income, prices and interest rates. American Economic Review 82 (1992) 472-492
22. Gali J. Technology, employment, and the business cycle: do technology shocks explain aggregate fluctuations?. The American Economic Review 89 1 (1999) 249-271
23. Kim S. Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries. Journal of International Economics 48 (1999) 387-412
24. Koray F., and McMillin W.D. Monetary shocks, the exchange rate, and the trade balance. Journal of International Money and Finance 18 6 (1999) 925-940
25. Kose M.A., Otrok C., and Whiteman C.H. International business cycles: world, region, and country-specific factors. American Economic Review 93 4 (2003) 1216-1239
26. Leamer E.E. Let's take the con out of econometrics. American Economic Review 73 (1983) 31-43
27. Leeper E.M., and Roush J.E. Putting M back in monetary policy. The Journal of Money, Credit and Banking 35 6 (2003) 1217-1256 Part 2
28. Leeper E.M., Sims C.A., and Zha T. What does monetary policy do?. Brookings Papers on Economic Activity 2 (1996) 1-63
29. Lippi M., and Reichlin L. and uncommon trends and cycles. European Economic Review 38 3-4 (1994) 624-635
30. Lucas R.E. Econometric policy evaluation: a critique' in the Phillips curve and labour markets. Carnegie-Rochester Conference Series on Public Policy (1976) 19-46
31. McCallum J. Stabilization policy and endogenous wage stickiness. American Economic Review 73 3 (1983) 414-419
32. Mihov I. monetary policy in EMU. Economic Policy 33 (2001) 371-406
33. Mojon B., and Peersman G. A VAR description of the effect of monetary policy in the individual countries of the euro area. In: Angeloni I., Kashyap A., and Mojon B. (Eds). Monetary Transmission in the Euro Area (Chapter 3) (2003), Cambridge University Press
34. Mojon, B., Peersman, G., 2001. A VAR description of the effects of monetary policy in the individual countries of the euro area. ECB Working Paper 92.
35. Mountford A. Leaning into the wind: a structural VAR investigation of UK monetary policy. Oxford Bulletin of Economics and Statistics 67 5 (2005) 597-621
36. Mountford, A., Uhlig, H., 2005.What are the Effects of Fiscal Policy Shocks. Deutsche Forschungsgemeinschaft - Economic Risk, SFB 649 Discussion Paper 2005-039.
37. Peersman, G., Straub, R., 2004. Technology shocks and robust sign restrictions in an euro area SVAR. European Central Bank Working Paper No. 373, ECB: Frankfurt.
38. Ramaswamy R., and Sloek T. The real effects of monetary policy in the European Union: what are the differences?. IMF Staff Papers 45 (1998) 374-391
39. Shapiro M.D., and Watson M.W. Sources of business-cycle fluctuations. NBER Macroeconomics Annual 3 (1988) 111-148
40. Smets, F., 1997. Measuring Monetary Policy Shocks in France, Germany and Italy, The role of the Exchange Rate. Bank of International Settlements Working Paper No. 42.
41. Sims C.A., and Zha T. Error bands for impulse responses. Econometrica 67 5 (1999) 1113-1156
42. Sims C.A. Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review 36 (1992) 975-1011
43. Sims C.A. Macroeconomics and reality. Econometrica 48 (1980) 1-48
44. Uhlig H. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52 2 (2005) 381-419
45. van Els P., Locarno A., Mojon B., and Morgan J. New macroeconomic evidence on monetary policy transmission in the euro area. Journal of the European Economic Association 1 2-3 (2003) 720-730
46. Woodford M. Monetary policy and price level determinacy in a cash-in-advance economy. Economic Theory 4 3 (1994) 345-380