Paper #215

Title:

Spanish monetary policy: A structural VAR analysis

Author:

Etsuro Shioji

Date:

May 1997

Abstract:

Some past studies analyzed Spanish monetary policy with the standard VAR. Their problem is that this method obliges researchers to impose a certain extreme form of the short run policy rule on their models. Hence, it does not allow researchers to study the possibility of structural changes in this rule, either. This paper overcomes these problems by using the structural VAR. I find that the rule has always been that of partial accommodation. Prior to 1984, it was quite close to money targeting. After 1984, it became closer to the interest rate targeting, with more emphasis on the exchange rate.

Keywords:

Monetary policy, structural VAR, identification, exchange rate

JEL codes:

E52, E58, C32

Area of Research:

Macroeconomics and International Economics

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