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Canaux de transmission de la politique monétaire dans l'ue. Le cas de trois nouveaux entrants

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  • Jérôme Creel
  • Sandrine Levasseur

Abstract

A structural var model is used to investigate the relative importance of interest rate, exchange rate and credit channels in the monetary policy transmission in the Czech Republic, Hungary and Poland between 1995 and 2004. Main results are as follows. First, responses of industrial production to the monetary shocks are fast but are not long-lived. Second, there is no « price-puzzle » per se, but instead an « exchange rate puzzle ». Third, the credit channel is not yet very powerful. Over the recent period, the exchange rate and interest rate channels have played a more prominent role in Poland than in the Czech Republic and Hungary: entering emu may thus be more costly for Poland. Classification JEL : E51 ; E52 ; F31 ; P24 ; C32

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 57 (2006)
Issue (Month): 4 ()
Pages: 881-898

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Handle: RePEc:cai:recosp:reco_574_0881

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  1. Jérôme Héricourt, 2005. "Monetary policy transmission in the CEECs : revisited results using alternative econometrics," Cahiers de la Maison des Sciences Economiques bla05020, Université Panthéon-Sorbonne (Paris 1).
  2. Jérôme Creel* & Sandrine Levasseur, 2007. "Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(1), pages 30-59, February.
  3. Garett Jones & Ali M Kutan, 2004. "Exchange Rate Management Strategies in the Accession Countries: The Case of Hungary," Comparative Economic Studies, Palgrave Macmillan, vol. 46(1), pages 23-44, March.
  4. Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
  5. Louis Kuijs, 2002. "Monetary Policy Transmission Mechanisms and Inflation in Slovakia," IMF Working Papers 02/80, International Monetary Fund.
  6. Alessio Anzuini & Aviram Levy, 2004. "Financial structure and the transmission of monetary shocks: preliminary evidence for the Czech Republic, Hungary and Poland," Temi di discussione (Economic working papers) 514, Bank of Italy, Economic Research and International Relations Area.
  7. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  8. Jarociński, Marek, 2008. "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Working Paper Series 0970, European Central Bank.
  9. Leena Mörttinen & Paolo Poloni & Patrick Sandars & Jukka Vesala, 2005. "Analysing banking sector conditions - how to use macro-prudential indicators," Occasional Paper Series 26, European Central Bank.
  10. Bonin, John & Wachtel, Paul, 2002. "Financial sector development in transition economies: Lessons from the first decade," BOFIT Discussion Papers 9/2002, Bank of Finland, Institute for Economies in Transition.
  11. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
  12. Georgy Ganev & Krisztina Molnar & Krzysztof Rybinski & Przemyslaw Wozniak, 2002. "Transmission Mechanism of Monetary Policy in Centraland Eastern Europe," CASE Network Reports 0052, CASE-Center for Social and Economic Research.
  13. European Commission, 2010. "Financial Sector Taxation," Taxation Papers 25, Directorate General Taxation and Customs Union, European Commission.
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Cited by:
  1. MEZUI-MBENG, Pamphile, 2010. "Tramsission de la politique monétaire: le cas des pays de la CEMAC
    [Monetary policy transmission: the case of the CEMAC]
    ," MPRA Paper 26032, University Library of Munich, Germany.

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