Information from Financial Markets and VAR Measures of Monetary Policy
Universita Bocconi, Innocenzo Gasparini Institute for Economic Research Working Paper No.135
16 Pages Posted: 28 Sep 1998
Date Written: September 1998
Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (U.S.) and open (U.S.-Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical analysis confirms the main features of the monetary policy transmission mechanism in U.S. and Germany, explicitly addressing the issue of simultaneity between the German policy interest rate and the U.S. dollar-DMark exchange rate.
JEL Classification: E44, E52, F41
Suggested Citation: Suggested Citation