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Monetary and fiscal policy transmission in the Euro-area: evidence from a structural VAR analysis

Monetary and fiscal policy transmission in the Euro-area: evidence from a structural VAR analysis

This paper studies the transmission of monetary and fiscal policy in the Euro-area. To do so, a structural VAR (SVAR) of monetary and fiscal policy transmission in the Euro-area is estimated. First, the EMU countries are considered as an aggregate entity and the SVAR model of the aggregate of EMU countries is compared with SVAR models of the US and Japan. This exercise is useful to assess the effects of monetary and fiscal policy on the aggregate EMU economy and also to have a comparison with two other major economies. Attention is also paid to interaction of macroeconomic policies and the effects of shocks in financial markets. In a next step, SVARs are estimated for the individual EMU countries to gain more insight into cross-country asymmetries in the transmission of monetary and fiscal policies. It turns out that, compared to the EMU aggregate, individual EU countries often react rather differently to monetary and fiscal policy innovations.

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Release date: 10/09/2004
 

Additional information

Product Code: KS-AN-03-073
ISBN: 92-894-6866-1
ISSN: 1725-4825
Theme: General and regional statistics
Collection: Statistical working papers