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Monetary transmission in Spain: a structural cointegrated VAR approach


Reference:

Camarero, M., Ordóñez, J. and Tamarit, C., 2002. Monetary transmission in Spain: a structural cointegrated VAR approach. Applied Economics, 34 (17), pp. 2201-2212.

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Official URL:

http://dx.doi.org/10.1080/00036840210138419

Abstract

This paper analyses the monetary policy channels in Spain using a cointegrated structural VAR approach which explicitly accounts for endogenous policy reactions in a small open economy. Evidence is found of one cointegrating relation which is identified as a long-run money demand function. In addition, stability tests are applied to this relationship to assess whether there has been a change of monetary regime. The impulse-responses for the non-monetary shocks as well as the absence of the puzzles traditionally found in the empirical literature, suggest that the model specification identifies the monetary policy shocks correctly. Thus, according to our results, a monetary contraction causes a weak downward response in the price level, as well as an increase in both short and long-run nominal interest rates, a decrease in aggregate output and an exchange rate appreciation.

Details

Item Type Articles
CreatorsCamarero, M., Ordóñez, J. and Tamarit, C.
DOI10.1080/00036840210138419
DepartmentsFaculty of Humanities & Social Sciences > Economics
RefereedYes
StatusPublished
ID Code28451

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