آیا سیاست پولی واحد اثرات واقعی عدم تقارن در اتحادیه پولی اقتصادی دارد؟
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|24942||2003||28 صفحه PDF||سفارش دهید||10496 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Policy Modeling, Volume 25, Issue 2, February 2003, Pages 151–178
This article compares reactions of economies in Economic Monetary Union (EMU) to a single monetary policy. For that, we estimate a reaction function supposed to represent the behaviour of European Central Bank over the period 1980–1998. Then residuals are introduced into the production equation of each country. We break up monetary shocks in two axes: first, anticipated against unanticipated shocks and then positive against negative shocks. These distinctions permit a best evaluation of the degree of homogeneity of the effects of monetary policy. France, Germany, Spain and Austria seem more sensitive to unanticipated interest rates increases contrary to Belgium and Italy. These results illustrate all the problem of single monetary policy.
January 1, 1999 is now a key date in modern history. Indeed, it points the transition to the third phase of the Maastricht’s Treaty signed in 1992: founding of the Economic and Monetary Union and creation of a single currency, the Euro, within this zone. The change from national monetary policies directed by various independent central banks to a single monetary policy led by only one entity, the European Central Bank (ECB), raises some questions. Monetary authorities fear the existence of asymmetries in the reactions of various economies to a major monetary adjustment assumed to be symmetric since decided by the ECB. That would create tensions, would lead to expensive real adjustments given the impossibility of exchange rate adjustments. Indeed, the success in leading a single monetary policy depends not only on nominal convergence, which is considered successful globally, but also on the convergence of national economies sensitivity degrees to measurements of monetary regulation. Without such a convergence, a common monetary impulse could have different effects on national countries and could become an asymmetric shock. These questions are significant because they raise the problem of monetary policy control by the ECB. A common interest rate change will produce an uneven distribution of output across the monetary union. The aim of this work is, precisely, to measure the reactions of European economies to a single monetary shock and to determine whether common shocks of monetary policy induce asymmetric reactions on real activity in each country. To undertake this analysis, we choose a similar model to that used by Cover (1992): we first estimate the reaction function of the ECB and then, in a second stage, the production equation for each European economy. The advantages compared to the vector autoregression (VAR) systems are mainly on two levels. First of all, Cover’s method enables to take into account the unanticipated part of monetary policy. Then, analyses on VAR systems are all based on an assumption of linearity and symmetry of the effects of currency on the activity whereas macroeconomic theory generally shows that these effects can be asymmetric (downward price inflexibility). We apply this analysis to the Union including eight countries (Economic Monetary Union (EMU) without Greece, Portugal, Luxemburg and Ireland) over the period 1980–1998. We take into account two kinds of asymmetries to know whether countries react in the same way to shocks. First of all, we investigate whether or not output asymmetrically responds either to anticipated component or unanticipated monetary shocks or to both. Lastly, we examine their reactions to positive and negative shocks. Taken all together, our results suggest symmetry in the reactions of European economies with regard to the first distinction: only unanticipated single monetary policy can be considered to have real effects on the production of European countries. Nevertheless, a relative asymmetry exists concerning the distinction between effects of an expansionist or restrictive monetary policy, as some countries react more to unanticipated interest rate increases and others to falls. In the following section, the monetary policy led by the ECB is examined and represented in a model. We then attempt to quantify the real effects of this single monetary policy on European economies and to clarify the implications for ECB policy.
نتیجه گیری انگلیسی
The effects of monetary policy on activity have been discussed in previous literature. However, this study focuses more specifically on a European framework and more precisely within a single monetary policy framework. Indeed, few economists have studied to date the effects of this common monetary policy conducted by the ECB on European countries activity introducing at the same time anticipated and unanticipated monetary policy and distinction between some expansionist or restrictive monetary policy. We should not lose sight that our objective in this article is to compare reactions of European countries to a common interest rate change. In order to answer this question, we choose two stages estimation method as suggested by Cover (1992). We estimate a reaction function supposed to represent the behaviour of the ECB by OLS which shows clearly that the latter modifies its interest rate according to the state of economy represented by the interest rate, the inflation gap, the M3 growth gap and the output gap. From this estimate, we can easily obtain the estimated part of interest rate (possibly positive and negative) as well as the residual part (positive and negative) that we introduce in output equations for each European country. The estimate by OLS of output process allows us to quantify effects of this single monetary policy on real activity of these countries. We supplement the analysis by a non-linear joint estimation system to compare results and to complete conclusions. We can ultimately conclude that the directions of reactions of European countries are similar if one is interested in effects of anticipated and unanticipated components: real production of countries reacts more to unanticipated interest rate changes. Nevertheless, the answers of economies seem different if one is interested in asymmetry between positive and negative monetary shocks. We can highlight two sub-groups of countries. On the one hand, France, Germany, Spain and Austria seem more sensitive to unanticipated rises of interest rate, i.e., to a restrictive monetary policy. On the other hand, real activity of Belgium and Italy seems to react more to an expansionist monetary policy. The Netherlands and Finland are more difficult to classify since the results of the two estimates do not coincide. With OLS, Finnish real activity seems to answer unanticipated impulses, both positive and negative according to the specification, while in The Netherlands activity reacts more to unanticipated rates rises. With the non-linear estimate, Finland seems more sensitive to negative unanticipated shocks whereas the reaction becomes mitigated in The Netherlands. These conclusions must thus be taken with cautious since results can vary according to specification of the selected production equation and the estimation. The asymmetry of the effects of monetary shocks is finally relatively homogeneous within our Union with eight countries since all countries react little to anticipated component. The one of the effects of positive or negative shocks is less in the sense that countries react differently. Thus the single monetary policy seems to affect real variables and, consequently, the assumption of neutrality of money in long-term is perhaps not valid. If there were no really homogeneity in reactions of European economies, this single monetary policy could cause an uneven distribution of output across the monetary union and then this would raise some questions as to the best way of conducting monetary policy. The results confirm the idea that nominal convergence has not been necessarily accompanied by a real convergence. They illustrate all the problems of single monetary policy: a common change of monetary policy in all countries can lead to asymmetric reactions because these countries still have different national structures.