| Although it is widely accepted that monetary policy can affect the real economy, there are still controversies about the monetary transmission mechanism. Recently, some stylized facts about the effects of monetary policy shocks are derived in the U.S. economy. However, whether these stylized facts are common across non-U.S. economies is still an open question. To answer this question, I compare the dynamic responses of various macroeconomic variables to monetary policy shocks for eight OECD member countries.; A vector autoregressive model is estimated for each country. Impulse responses to monetary policy shocks are computed under the assumption of long-run monetary neutrality. The results show that the stylized facts are common phenomena. The results also show that the interest rate channel and the equity price channel play an important role in monetary policy transmission. However, there is little evidence supporting the existence of the credit channel.; Relative importance of the interest rate channel and the equity price channel is analyzed. According to the counter factual simulations, the equity price channel plays a more important role in the monetary transmission mechanism. Dynamic responses under various short-run identification restrictions are compared. Results are quite robust across short-run restrictions. Although the results are also qualitatively similar to those under long-run restrictions, long-run identification restrictions generate results more consistent with economic theory. |
