Fondazione GRINS
Growing Resilient,
Inclusive and Sustainable
Galleria Ugo Bassi 1, 40121, Bologna, IT
C.F/P.IVA 91451720378
Finanziato dal Piano Nazionale di Ripresa e Resilienza (PNRR), Missione 4 (Infrastruttura e ricerca), Componente 2 (Dalla Ricerca all’Impresa), Investimento 1.3 (Partnership Estese), Tematica 9 (Sostenibilità economica e finanziaria di sistemi e territori).



Open Access
THEMATIC AREAS
RESOURCES
We assess empirically the effects of monetary policy shocks on the Italian economy through the lenses of a heteroskedastic SVAR model. The identifying information provided by the time variation in the volatility of the structural shocks is complemented sign and narrative restrictions. The presence of heteroskedasticty is strongly supported by the data and sharpens significantly the uncertainty about IRFs, but it is not sufficient to allow reliable inference on the responses of interest, hence it has to be complemented with external information in the form of sign and narrative restrictions. Our results show that unexpected monetary policy contractions reduce both inflation and output growth, generating a significant increase in the Corporate Bond Spread. On the other hand, the response of the Euro-Dollar exchange rate and the Italy-Germany sovereign spread is not significantly affected.
AKNOWLEDGEMENTS
This study was funded by the European Union - NextGenerationEU, in the framework of the GRINS - Growing Resilient, INclusive and Sustainable project (GRINS PE00000018). The views and opinions expressed are solely those of the authors and do not necessarily reflect those of the European Union, nor can the European Union be held responsible for them.
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