Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3549
Title: The asymmetric effects of a common monetary policy in Europe
Authors: Caporale, GM
Soliman, AM
Keywords: Monetary Shocks; Asymmetries; Common Monetary Policy; Identification; VECM; VAR
Issue Date: 2005
Publisher: Brunel University
Citation: Economics and Finance Discussion Papers, Brunel University, 05-20.
Abstract: This paper examines the monetary transmission mechanism in eight EU member states. It provides useful empirical evidence for assessing the impact of a common monetary policy in the early stages of EMU, and enables us to form a view on how the regime change represented by EMU is likely to be translated into changes in policy multipliers in the various EU countries. The empirical analysis applies techniques recently developed by Wickens and Motto (2001) for identifying shocks by estimating a VECM for the endogenous variables, and a stationary VAR in first differences for the exogenous variables. Our findings suggest that there are significant differences between EU countries in the transmission mechanism of monetary policy.
URI: http://bura.brunel.ac.uk/handle/2438/3549
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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