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

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
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Depositing User: LivePure Connector
Date Deposited: 06 Nov 2019 09:30
Last Modified: 11 Jul 2020 23:53
URI: https://ueaeprints.uea.ac.uk/id/eprint/72884
DOI: 10.1016/j.econlet.2019.108803

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