A Vector AutoRegressive Model for the Monetary Policy in the countries of the Euro Area during the crisis

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2016 (EL)
A Vector AutoRegressive Model for the Monetary Policy in the countries of the Euro Area during the crisis (EN)

Kalfas, Ioannis (EN)
Zina, Eleni (EN)

School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance (EL)
Sikalidis, Alexandros (EN)
Archontakis, Fragkiskos (EN)
Grose, Christos (EN)

In this dissertation, we are going to investigate the effects of the monetary policy and monetary policy shocks on several fundamental economic variables, including the Gross Domestic Product, the Interest Rates and the Consumer Price Index for 4 European countries , Cyprus, Greece, Ireland and Portugal, that faced the most issues during the recession which initially started in 2008/2009 and continues until the time of writing (October 2016). This study offers results for the period under which the Euro became the only currency among the countries of the Euro area. Our goal is to provide evidence about the monetary policy implicated by the European Central Bank and the response of the 4 countries’ major macroeconomics variables to monetary policy shocks. Using a Vector Autoregressive model (VAR) for each of the 4 countries, we also try to estimate the impact of changes of shocks to gross domestic product and prices, with the help of impulse responses to each variable mentioned above. The main findings of our study indicate monetary policy shocks have a very small effect on both the Gross Domestic Product and the Consumer Price Index, which is expected, since the Eurozone and the European Central Bank have imposed a low interest rate policy to keep inflation at very low levels. Additionally, a monetary policy shock on rates would lead to a small but steady decline of the effect on the rates themselves over the time period. In this study, we have also investigated the effects of a shock to the GDP and the CPI of each country on the rates , which are interesting . In all countries, a shock in the GDP lead to a boom over the period of 2 quarters and then it remains pretty st able for the remaining quarters. As far as the shock to CPI is concerned, in Ireland and Portugal we depict an increase at first quarters , but then it starts deteriorating, without dying for the scrutinized period, which is 8 quarters. On the other hand, f or both Greece and Cyprus , the shocks to CPI have less effect on rates. (EN)


Διεθνές Πανεπιστήμιο της Ελλάδος (EL)
International Hellenic University (EN)


School of Economics, Business Administration and Legal Studies (EN)

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