Monetary policy shocks in the euro area and global liquidity spillovers

This paper analyses the international transmission of monetary shocks with a special focus on the effects of foreign money ("global liquidity") on the euro area. We estimate structural VAR models for the euro area and the global economy including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity leads to permanent increases in the euro area M3 aggregate and the price level, a temporary rise in real output and a temporary appreciation of the real effective exchange rate of the euro. Moreover, we find that innovations in global liquidity play an important role in explaining price and output fluctuations in the euro area and in the global economy.

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Year of publication:	2004-02-01
Authors:	Sousa, João ; Zaghini, Andrea
Publisher:	European Central Bank
Subject:	EU-Staaten \| EU countries \| Europäische Wirtschafts- und Währungsunion \| European Economic and Monetary Union \| Geldpolitik \| Monetary Policy \| Schock \| Shock \| Theorie \| Theory \| Transmissionsmechanismus \| Monetary transmission \| Währungsreserven \| Foreign exchange reserves

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Extent:	1016832 bytes 42 p. application/pdf
Series:	Working paper series / European Central Bank ; 309
Type of publication:	Book / Working Paper
Language:	English
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; F01 - Global Outlook ; Monetary Policy ; European Economic and Monetary Union ; Currency. Other ; EU ; Currency. Monetary policy ; International monetary system ; Individual Working Papers, Preprints
Source:	ArchiDok