English, Article, Journal or magazine article edition: Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy Jan Gottschalk; Florian Höppner

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy
Author
  • Jan Gottschalk
  • Florian Höppner
Physical Description
  • preprint
Notes
  • This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy has had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks and find that monetary policy pursues a counter-cyclical policy in response to demand shocks and, despite considerable lags, is pro-cyclical with regard to supply shocks.
  • Vector Autoregression, Systematic Monetary Policy, Historical De-composition
  • RePEc:kie:kieliw:1074
  • This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane yielding the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks. We find that monetary policy pursues a counter-cyclical policy in response to demand shocks and is pro-cyclical with regard to supply shocks, even though there are considerable lags.
  • RePEc:bon:bonedp:bgse21_2001
Language
  • English
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