Ribba, Antonio - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-12
In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to … of monetary policy shocks for an open economy like the Euro Area requires consideration of the US policy rate. Indeed …, when we exclude the Federal Funds Rate from an estimated VAR model including a set of Euro Area variables, i.e., Eonia …