Monetary transmission in Spain: a structural cointegrated VAR approach

Mariam Camarero, Javier Ordóñez, Cecilio Tamarit

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11 Citations (SciVal)


This paper analyses the monetary policy channels in Spain using a cointegrated structural VAR approach which explicitly accounts for endogenous policy reactions in a small open economy. Evidence is found of one cointegrating relation which is identified as a long-run money demand function. In addition, stability tests are applied to this relationship to assess whether there has been a change of monetary regime. The impulse-responses for the non-monetary shocks as well as the absence of the puzzles traditionally found in the empirical literature, suggest that the model specification identifies the monetary policy shocks correctly. Thus, according to our results, a monetary contraction causes a weak downward response in the price level, as well as an increase in both short and long-run nominal interest rates, a decrease in aggregate output and an exchange rate appreciation.
Original languageEnglish
Pages (from-to)2201-2212
Number of pages12
JournalApplied Economics
Issue number17
Publication statusPublished - 2002


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