Measuring monetary policy shocks in France, Germany and Italy: the role of the exchange rate
- Author
- Frank Smets (UGent)
- Organization
- Abstract
- In the identified VAR literature the role of the exchange rate in measuring monetary policy shocks has often been neglected. However, many open economies find it useful to target the exchange rate. In such a regime exchange rate innovations will better capture domestic monetary policy shocks. This paper first estimates the weight on the ECU exchange rate in France, Germany and Italy under the ERM regime. Next, these weights are used to identify a typical monetary policy shock in these countries and analyse its effects on output, inflation, the interest rate and the exchange rate.
Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-4425556
- MLA
- Smets, Frank. “Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate.” SWISS JOURNAL OF ECONOMICS AND STATISTICS, vol. 133, no. 3, 1997, pp. 597–616.
- APA
- Smets, F. (1997). Measuring monetary policy shocks in France, Germany and Italy: the role of the exchange rate. SWISS JOURNAL OF ECONOMICS AND STATISTICS, 133(3), 597–616.
- Chicago author-date
- Smets, Frank. 1997. “Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate.” SWISS JOURNAL OF ECONOMICS AND STATISTICS 133 (3): 597–616.
- Chicago author-date (all authors)
- Smets, Frank. 1997. “Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of the Exchange Rate.” SWISS JOURNAL OF ECONOMICS AND STATISTICS 133 (3): 597–616.
- Vancouver
- 1.Smets F. Measuring monetary policy shocks in France, Germany and Italy: the role of the exchange rate. SWISS JOURNAL OF ECONOMICS AND STATISTICS. 1997;133(3):597–616.
- IEEE
- [1]F. Smets, “Measuring monetary policy shocks in France, Germany and Italy: the role of the exchange rate,” SWISS JOURNAL OF ECONOMICS AND STATISTICS, vol. 133, no. 3, pp. 597–616, 1997.
@article{4425556, abstract = {{In the identified VAR literature the role of the exchange rate in measuring monetary policy shocks has often been neglected. However, many open economies find it useful to target the exchange rate. In such a regime exchange rate innovations will better capture domestic monetary policy shocks. This paper first estimates the weight on the ECU exchange rate in France, Germany and Italy under the ERM regime. Next, these weights are used to identify a typical monetary policy shock in these countries and analyse its effects on output, inflation, the interest rate and the exchange rate.}}, author = {{Smets, Frank}}, issn = {{1020-0959}}, journal = {{SWISS JOURNAL OF ECONOMICS AND STATISTICS}}, language = {{eng}}, number = {{3}}, pages = {{597--616}}, title = {{Measuring monetary policy shocks in France, Germany and Italy: the role of the exchange rate}}, volume = {{133}}, year = {{1997}}, }