Acceso usuarios
Axel A. Weber, Rafael Gerke, Andreas Worms
Empirical evidence on whether euro area monetary transmission has changed is, at best, mixed. We argue that this inconclusiveness is likely to be due to the fact that existing empirical studies concentrate on the effects of particular developments on specific transmission channels. Such analyses typically require strong assumptions. Moreover, specific changes could have off-setting effects regarding the overall effectiveness of monetary policy. In order to shed light on this issue, we investigate whether there has been a significant change in the overall transmission of monetary policy to inflation and output by estimating a standard Vector Autoregression (VAR) for the euro area and by endogenously searching for possible break dates. We find a significant break point around 1996 and some evidence for a second one around 1999. We compare the effects of monetary policy shocks for these episodes and find that the well-known 'stylized facts' of monetary policy transmission remain valid. Therefore, we argue that the general guiding principles of the Eurosystem monetary policy remain adequate. Moreover, it seems that monetary transmission after 1998 is not very different from before 1996, but probably very different compared to the interim period.
