The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone

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Murgia, Lucia Milena (2020) The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone. Economics Letters, 186. ISSN 0165-1765

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Abstract

This paper investigates how European Central Bank (ECB) monetary policy shocks impact industrial production (output) and inflation (prices). I gather a novel dataset of macroeconomic forecasts, and using a narrative approach, I construct a new measure of monetary policy shocks. Industrial production responds to an unpredictable positive monetary policy shock of 100 basis points with a decline of over 0.5%. On the contrary, inflation responds weakly with a very modest decrease of 0.05%.

Item Type:	Article
Uncontrolled Keywords:	identification,macroeconomic forecasts,monetary policy,narrative identification
Faculty \ School:	Faculty of Social Sciences > Norwich Business School Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Centres > Centre for Behavioural and Experimental Social Sciences Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance Faculty of Social Sciences > Research Groups > Behavioural Economics
Related URLs:	http://www.scopus.com/inward/record.url?... https://linkinghub.elsevier.com/retrieve...
Depositing User:	LivePure Connector
Date Deposited:	06 Nov 2019 09:30
Last Modified:	21 Apr 2023 00:12
URI:	https://ueaeprints.uea.ac.uk/id/eprint/72884
DOI:	10.1016/j.econlet.2019.108803

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