Link to the University of Pittsburgh
Link to the University Library SystemContact us link
AEI Banner

Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions. Bruegel Working Paper 2012/08, May 2012

Darvas, Zsolt (2012) Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions. Bruegel Working Paper 2012/08, May 2012. [Working Paper]

[img]
Preview
PDF - Published Version
Download (968Kb) | Preview

    Abstract

    We study the transmission of monetary policy to macroeconomic variables with structural time-varying coefficient vector autoregressions in the Czech Republic, Hungary and Poland, in comparison with that in the euro area. These three countries have experienced changes in monetary policy regimes and went through substantial structural changes, which call for the use of a timevarying parameter analysis. Our results indicate that the impact on output of a monetary shock changed over time. At the point of the last observation of our sample, the fourth quarter of 2011, among the three countries, monetary policy was most powerful in Poland and not much less strong than the transmission in the euro area. We discuss various factors that can contribute to differences in monetary transmission, such as financial structure, labour market rigidities, industry composition, exchange rate regime, credibility of monetary policy and trade openness.

    Export/Citation:EndNote | BibTeX | Dublin Core | ASCII (Chicago style) | HTML Citation | OpenURL
    Social Networking:
    Item Type: Working Paper
    Uncontrolled Keywords: Monetary transmission; time-varying coefficient vector autoregressions; Kalman-filter.
    Subjects for non-EU documents: Countries > Hungary
    Countries > Poland
    Countries > Czech Republic
    EU policies and themes > Policies & related activities > economic and financial affairs > monetary policy
    Subjects for EU documents: UNSPECIFIED
    EU Series: UNSPECIFIED
    ["eprint_fieldname_eusries" not defined]: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > Bruegel (Brussels) > Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 03 May 2012 13:11
    Number of Pages: 28
    Last Modified: 03 May 2012 13:11
    URI: http://aei.pitt.edu/id/eprint/34845

    Actions (login required)

    View Item

    Document Downloads