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  • 标题:The transmission mechanism among italian interest rates
  • 作者:Gianni Amisano ; Michele Cesura ; Carlo Giannini
  • 期刊名称:Statistica
  • 印刷版ISSN:1973-2201
  • 出版年度:1997
  • 卷号:57
  • 期号:4
  • DOI:10.6092/issn.1973-2201/1067
  • 语种:English
  • 出版社:Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
  • 摘要:A Structural VAR model is built for a set of Italian interest rates in order to investigate their dynamic interactions. After a univariate analysis, which revealed the unexpected presence of seasonality, we focus on the description of how monetary impulses propagate through the system. This aim is accomplished by suitably determining the long-run relationships, i.e. identifying the cointegration space, and modelling the short run interactions. Dynamic simulations give then the linkage between short and long run properties. Our analysis emphasises the role of the rate on repurchasing operations; this seems ta be the driving farce of the Italian monetary market.
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