European Monetary Union: Evidence from Structural VARs |
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Bank of Atlanta Bayoumi and Eichengreen Blanchard and Quah Britain are 0.13 Canada candidates for monetary cointegration correlations of demand correlations with Germany countries are 0.10 cross-country correlations currencies data on shocks demand and supply demand shocks EC members effect on real Eichengreen 1992a equation estimated restricted model Estimated standard errors Europe European Central Bank European Monetary System European monetary union exchange-rate Federal Reserve Bank fixed exchange rate France are 0.11 fundamental demand fundamental shocks gives the response HG¹u Hugh Cohen Italy Japan long-run moving average long-run restrictions Maastricht Treaty matrix of long-run monetary policy monthly shocks moving average coefficients negatively correlated Netherlands one-step-ahead forecast errors output and prices patterns of shocks percent Percentage of Variance price level quarterly supply shocks real output reduced form restriction that demand seignorage shocks end shocks have zero shocks in Germany structural model substantial positive correlations U.S. dollar variance decompositions Variance Due variance-covariance matrix vector autoregressive