Title: Measuring monetary policy shocks in France, Germany and Italy: the role of the exchange rate
Authors: Smets, Frank # ×
Issue Date: 1997
Publisher: Peter Lang AG
Series Title: Swiss Journal of Economics and Statistics/Schweizerische Zeitschrift fuer Volkswirtschaft und Statistik vol:133 issue:3 pages:597-616
Abstract: In the identified VAR literature the role of the exchange rate in measuring monetary policy shocks has often been neglected. However, many open economies find it useful to target the exchange rate. In such a regime exchange rate innovations will better capture domestic monetary policy shocks. This paper first estimates the weight on the ECU exchange rate in France, Germany and Italy under the ERM regime. Next, these weights are used to identify a typical monetary policy shock in these countries and analyse its effects on output, inflation, the interest rate and the exchange rate.
ISSN: 0303-9692
Publication status: published
KU Leuven publication type: AT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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