The Monetary Transmission Mechanism in the Euro Area Level: Issues and Results Using Structural Macroeconomic Models (Mtn Conference Paper)

2001 ◽  
Author(s):  
Peter McAdam ◽  
Julian Benedict Morgan
Keyword(s):  
Euro Area ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Conference Paper ◽  
Macroeconomic Models ◽  
Monetary Transmission Mechanism

The Effects of Euro Area Interest Rate Changes: Evidence from Macroeconomic Models

2004 ◽  
Vol 187 ◽  
pp. 93-103 ◽  
Author(s):  
Peter McAdam ◽  
Julian Morgan
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Euro Area ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Macroeconomic Models ◽  
Monetary Transmission Mechanism ◽  
European Central ◽  
Investment Response

This paper examines the effects of changes in Euro Area interest rates using macroeconomic models. It examines the results of a harmonised monetary policy simulation at the Euro Area level using the National Institute of Economic and Social Research's Global Economic Model (NiGEM) and the European Central Bank's Area Wide Model (AWM). Comparison is also drawn with the aggregate results from Euro Area National Central Bank models as reported in van Els et al. (2001). Overall, the results across the different models are broadly consistent with what might be regarded as the stylised facts of the monetary transmission mechanism. That is to say that, following a policy tightening, there is an initial fall in output consisting of a more pronounced investment response and a less pronounced consumption response. This output fall is accompanied by protracted price dynamics.

scholarly journals Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach

2018 ◽  
Vol 22 (5) ◽  
Author(s):  
Hans-Helmut Kotz ◽  
Willi Semmler ◽  
Ibrahim Tahri
Keyword(s):  
Euro Area ◽  
Multivariate Time Series ◽  
Transmission Mechanism ◽  
Smooth Transition ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism ◽  
Time Series Approach ◽  
Lending Rates ◽  
Pass Through ◽  
The Impact

Abstract This paper investigates the effect of financial fragmentation on the monetary transmission mechanism in different Euro area economies, categorized into two groups: countries considered as “core” economies and countries characterized as “peripheral” economies. We analyze the effects of financial fragmentation on the monetary transmission mechanism through the traditional interest rate channel. To gauge the impact of changes in policy rates on the behavior of real variables such as aggregate output and employment we use a Smooth Transition VAR (VSTAR) model. Employing a nonlinear multivariate time series approach helps us capture the regime-dependent dynamics of the variables under study. The results obtained show that money market rates targeted by the central bank do not completely pass through to banks’ lending rates to firms, particularly in a financially fragmented environment. This finding supports the hypothesis of an impairment of the monetary transmission mechanism as a result of financial fragmentation. Given this impairment in some sectors and regions an accompanying credit volume policy might have been appropriate.

scholarly journals The Output Composition Puzzle: A Difference in the Monetary Transmission Mechanism in the Euro Area and United States

2003 ◽  
Vol 35 (6b) ◽  
pp. 1265-1306 ◽  
Author(s):  
Ignazio Angeloni ◽  
A. K. Kashyap ◽  
Benoit Mojon ◽  
Daniele Terlizzese
Keyword(s):  
United States ◽  
Euro Area ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism

scholarly journals The Output Composition Puzzle: A Difference in the Monetary Transmission Mechanism in the Euro Area and U.S.

2003 ◽  
Author(s):  
Ignazio Angeloni ◽  
Anil K. Kashyap ◽  
Benoit Mojon ◽  
Daniele Terlizzese
Keyword(s):  
Euro Area ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism
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