Paper #446

Título:

Monetary policy shocks and transmission in Italy: A VAR analysis

Autores:

Giuseppe De Arcangelis y Giorgio Di Giorgio

Fecha:

Diciembre 1999

Resumen:

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.

Palabras clave:

Monetary policy shocks and indicators, structural VAR

Códigos JEL:

E52

Área de investigación:

Macroeconomía y Economía Internacional

Publicado en:

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

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