Paper #446

Title:

Monetary policy shocks and transmission in Italy: A VAR analysis

Authors:

Giuseppe De Arcangelis and Giorgio Di Giorgio

Date:

December 1999

Abstract:

This paper provides updated empirical evidence about the real and nominal effects of monetary policy in Italy, by using structural VAR analysis. We discuss different empirical approaches that have been used in order to identify monetary policy exogenous shocks. We argue that the data support the view that the Bank of Italy, at least in the recent past, has been targeting the rate on overnight interbank loans. Therefore, we interpret shocks to the overnight rate as purely exogenous monetary policy shocks and study how different macroeconomic variables react to such shocks.

Keywords:

Monetary policy shocks and indicators, structural VAR

JEL codes:

E52

Area of Research:

Macroeconomics and International Economics

Published in:

Economic Notes, Review of Banking, Finance and Monetary Economics, Blackwell, Vol 30, 2001

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