
Series: Working Papers. 9414.
Author: Jose Luis Escriva and Andrew G. Haldane.
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Abstract
This paper aims to provide some sectoral estimates of the monetary transmission mechanism in Spain. Using a Vector Autoregressive (VAR) methodology, we look to trace through the effects of an exogenous monetary impulse upon the intermediate and final target variables of policy. Provided this mapping between (exogenous) instrument and (endogenous) intermediate and final variables is valid, such an exercise offers meaningful estimates of the size and speed of the effects of a monetary perturbation upon output and prices. And - as important from an intermediate target perspective - it is indicative of the dominant mechanisms through which monetary policy is propagated. Evidently, these issues are of direct policy relevance.