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The Effect of Joining the EMS: Monetary Transmission Mechanisms in Spain

Author

Listed:
  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

  • Juan Toro

    (European University Institute)

Abstract

This paper presents a cointegrated VAR analysis of monetary transmission mechanisms and changes in them after Spain joined the EMS in 1989. Analyses of long-run price homogeneity within the I(2) model turned out to be crucial for understanding the joint behaviour of money, income, prices, and interest rates. The empirical results provide new insight on the macroeconomic effects of joining the EMS and financial deregulation.

Suggested Citation

  • Katarina Juselius & Juan Toro, 1999. "The Effect of Joining the EMS: Monetary Transmission Mechanisms in Spain," Discussion Papers 99-22, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9922
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    File URL: http://www.econ.ku.dk/english/research/publications/wp/1999/9922.pdf/
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    Citations

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    Cited by:

    1. Héctor Bravo L. & Carlos García T., 2002. "Measuring Monetary Policy and Pass-Through in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(3), pages 5-28, December.
    2. M. Camarero & J. Ordonez & C. R. Tamarit, 2002. "Monetary transmission in Spain: a structural cointegrated VAR approach," Applied Economics, Taylor & Francis Journals, vol. 34(17), pages 2201-2212.
    3. Mariá Dolores Gadea & José Mariá Serrano-Sanz, 2002. "The hidden economy in Spain - A monetary estimation, 1964-1998," Empirical Economics, Springer, vol. 27(3), pages 499-527.
    4. Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
    5. Paolo PAESANI, 2003. "Will the Monetary Pillar Stay? A Few Lessons from the UK," Economics Working Papers ECO2003/10, European University Institute.
    6. Hans Christian Kongsted, 2002. "Testing the Nominal-to-Real Transformation," Discussion Papers 02-06, University of Copenhagen. Department of Economics.
    7. Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 509-531, April.
    8. Katarina Juselius, 2001. "European integration and monetary transmission mechanisms: the case of Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 341-358.

    More about this item

    Keywords

    cointegration; long-run impact; money demand; IS-LM; monetary policy; capital liberalization;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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