Global monetary policy shocks in the G5: a SVAR approach
- The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends. JEL Classification: E52, F01
| Author: | Joao Miguel Sousa, Andrea Zaghini |
|---|---|
| URN: | urn:nbn:de:hebis:30-38048 |
| Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,30 |
| Series (Serial Number): | CFS working paper series (2006, 30) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2006 |
| Year of first Publication: | 2006 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2007/02/23 |
| Tag: | Global Economy; Monetary Policy; Structural VAR |
| GND Keyword: | Europäische Union; Währungsunion; USA; Japan; Großbritannien; Kanada; Geldpolitik |
| Issue: | December 2006 |
| Page Number: | 27 |
| HeBIS-PPN: | 190341610 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
