| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 104 === In recent years, the euro area has lower economic growth, the euro area price index has not reached the set target of 2% of the Europe Central Bank(ECB), thus cutting down the policy rate of ECB to influence the behavior of the market and the people, it is desirable to achieve price stability and economic growth targets. However, ECB announced that since July 5, 2012 has been a zero policy rate , in March 2016 its policy rate further to 0.4%, because the policy of zero interest rates and a negative interest rate of the monetary policy in the past rare, so this study is to explore this monetary policy environment What is the impact of the transmission mechanism.
In this paper takes the euro zone's overall monthly data, the index of industrial production, short-term interest rates, HICP price index, MSCI Eurozone stock index, the real effective exchange rate index for the variable, and in July 2012 as the boundary of the two groups “before the zero interest rate”and “after the zero interest rate” of the empirical model, using vector autoregressions analysis, and observe the performance of the impulse response function.
The empirical results show that if the variables have consistent trend of “before the zero interest rate”and “after the zero interest rate”, the extent of the reaction of its impact has become smaller, and the the impulse response has convergence to zero earlier.It show that monetary policy transfer the effect is declined if the policy rate less than or equal zero. That consistent with the previous studies. This study also concluded that when the inflation rate is subject to interest rate shock, the impulse response function of the inflation rate increase in some periods, and can not completely eliminate Price Puzzle.
Finally, this study also recommends that if the number of samples can be enough, we can study the current policy interest rate is negative country whose monetary policy transmission mechanism. And construct a model to join the intermediate target variables or add time-phased dummy variable to explore the dynamics of the monetary policy transmission process.
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