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dc.contributor.author
Kalfas, Ioannis
en
dc.contributor.author
Zina, Eleni
en
dc.date.accessioned
2017-04-08T11:13:16Z
dc.date.available
2017-04-09T00:00:15Z
dc.date.issued
2017-04-08
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/15232
dc.rights
Default License
dc.title
A Vector AutoRegressive Model for the Monetary Policy in the countries of the Euro Area during the crisis
en
heal.type
masterThesis
el
heal.keywordURI.LCSH
Monetary policy
heal.keywordURI.LCSH
Monetary policy--Case studies
heal.keywordURI.LCSH
Monetary policy--European Union countries
heal.keywordURI.LCSH
Gross domestic product--European Union countries
heal.keywordURI.LCSH
Economic surveys--European Union countries
heal.keywordURI.LCSH
Interest rates--European Union countries
heal.keywordURI.LCSH
Consumer price indexes--European Union countries
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
el
heal.publicationDate
2016-10-31
heal.abstract
In this dissertation, we are going to investigate the effects of the monetary policy and monetary policy shocks on several fundamental economic variables, including the Gross Domestic Product, the Interest Rates and the Consumer Price Index for 4 European countries , Cyprus, Greece, Ireland and Portugal, that faced the most issues during the recession which initially started in 2008/2009 and continues until the time of writing (October 2016). This study offers results for the period under which the Euro became the only currency among the countries of the Euro area. Our goal is to provide evidence about the monetary policy implicated by the European Central Bank and the response of the 4 countries’ major macroeconomics variables to monetary policy shocks. Using a Vector Autoregressive model (VAR) for each of the 4 countries, we also try to estimate the impact of changes of shocks to gross domestic product and prices, with the help of impulse responses to each variable mentioned above. The main findings of our study indicate monetary policy shocks have a very small effect on both the Gross Domestic Product and the Consumer Price Index, which is expected, since the Eurozone and the European Central Bank have imposed a low interest rate policy to keep inflation at very low levels. Additionally, a monetary policy shock on rates would lead to a small but steady decline of the effect on the rates themselves over the time period. In this study, we have also investigated the effects of a shock to the GDP and the CPI of each country on the rates , which are interesting . In all countries, a shock in the GDP lead to a boom over the period of 2 quarters and then it remains pretty st able for the remaining quarters. As far as the shock to CPI is concerned, in Ireland and Portugal we depict an increase at first quarters , but then it starts deteriorating, without dying for the scrutinized period, which is 8 quarters. On the other hand, f or both Greece and Cyprus , the shocks to CPI have less effect on rates.
en
heal.advisorName
Archontakis, Fragkiskos
en
heal.committeeMemberName
Archontakis, Fragkiskos
en
heal.committeeMemberName
Grose, Christos
en
heal.committeeMemberName
Sikalidis, Alexandros
en
heal.academicPublisher
School of Economics, Business Administration and Legal Studies
en
heal.academicPublisherID
ihu
el
heal.numberOfPages
75
el
heal.spatialCoverage
Cyprus
en
heal.spatialCoverage
Greece
en
heal.spatialCoverage
Ireland
en
heal.spatialCoverage
Portugal
en


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