Working Paper

Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy


  • Gottschalk
  • J.
  • Höppner
  • F.
Publication Date

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary policy has had a considerable influence on output. Moreover, we compute the output effects of the systematic monetary policy response to aggregate demand and supply shocks and find that monetary policy pursues a counter-cyclical policy in response to demand shocks and, despite considerable lags, is pro-cyclical with regard to supply shocks.


JEL Classification
E52, C32, C52

Key Words

  • Historical De-composition
  • Systematic Monetary Policy
  • Vector Autoregression