The Monetary Transmission Mechanisms In The Ceecs: A Structural Var Approach
AbstractThis paper deals with the monetary policy transmission channels of six Central European countries: CEECs – Hungary, Poland, Czech Republic, Romania, Slovakia and Slovenia – over recent periods corresponding to stable monetary regimes. We will take into account three channels – the interest rate, the exchange rate and the domestic credit – whose relative importance will be accounted for using a structural VAR model. The results show that all the countries share a weak domestic credit channel while they are highly heterogeneous with regards to the relative effectiveness of the interest rate and exchange rate channels. Thus, Hungary and Poland’s distinctive feature is the presence of a price puzzle effect combined with a high influence of the exchange rate which acts both as a mechanism of monetary policy transmission and as a supply and demand shock absorber. On the contrary, just like in the case of the Euro zone countries, it is the interest rate channel that has the major influence in the case of the Czech Republic, Slovakia, Slovenia and partially Romania. Therefore, this latter group appears to be more apt to join the EMU in the near future, which can be confirmed by the Slovenian case.
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Bibliographic InfoArticle provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.
Volume (Year): 9 (2009)
Issue (Month): 2 ()
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Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- P24 - Economic Systems - - Socialist Systems and Transition Economies - - - National Income, Product, and Expenditure; Money; Inflation
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