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Empirical evaluation of nominal convergence in Czech Republic, Poland and Hungary (CPH)

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  • Mamoudou, Toure
  • Jamel, Trabelsi
  • Frédéric, Dufourt

Abstract

We estimate a four variable structural vector auto regression (SVAR) model of the Czech Republic, Poland and Hungary economies in order to evaluate the links between the instruments of monetary policy and inflation outcomes. We find that the linkages between the interest rates and price levels are weak. However, the exchange rate constitutes the most important channel of monetary policy transmission for Poland and Hungary. For the Czech Republic, the link between interest rate rise and price level is rather indirect.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 26 (2009)
Issue (Month): 5 (September)
Pages: 993-999

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Handle: RePEc:eee:ecmode:v:26:y:2009:i:5:p:993-999

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: CPH Nominal convergence Monetary policy shock Structural VAR;

References

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  1. R. Golinelli & R. Rovelli, 2001. "Interest Rate Rules and Inflation Targeting in Three Transition Countries," Working Papers 429, Dipartimento Scienze Economiche, Universita' di Bologna.
  2. Orlowski, Lucjan T., 2004. "Money rules for monetary convergence to the euro," Journal of Policy Modeling, Elsevier, Elsevier, vol. 26(7), pages 817-837, October.
  3. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. Laurence Ball, 2002. "Policy Rules and External Shocks," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 3, pages 047-064 Central Bank of Chile.
  5. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 870, Cowles Foundation for Research in Economics, Yale University.
  6. Barlow, David, 2005. "The Hungarian exchange rate and inflation over the transition," Economic Systems, Elsevier, vol. 29(1), pages 87-97, March.
  7. John B. Taylor, 2001. "The Role of the Exchange Rate in Monetary-Policy Rules," American Economic Review, American Economic Association, American Economic Association, vol. 91(2), pages 263-267, May.
  8. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  9. Laurence Ball, 1998. "Policy Rules for Open Economies," RBA Research Discussion Papers, Reserve Bank of Australia rdp9806, Reserve Bank of Australia.
  10. Lucjan Orlowski, 2003. "Monetary Convergence and Risk Premiums in the EU Accession Countries," Open Economies Review, Springer, Springer, vol. 14(3), pages 251-267, July.
  11. Cecchetti, Stephen G & Rich, Robert W, 2001. "Structural Estimates of the U.S. Sacrifice Ratio," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(4), pages 416-27, October.
  12. Olivier J. Blanchard & Mark W. Watson, 1987. "Are Business Cycles All Alike?," NBER Working Papers 1392, National Bureau of Economic Research, Inc.
  13. Jiri Jonas & Frederic S. Mishkin, 2003. "Inflation Targeting in Transition Countries: Experience and Prospects," NBER Working Papers 9667, National Bureau of Economic Research, Inc.
  14. Michel Aglietta & Camille Baulant & Sandra Moatti, 2003. "Les PECO devant la tentation de l'euro," Economie Internationale, CEPII research center, CEPII research center, issue 93, pages 11-36.
  15. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, Elsevier, vol. 45(3), pages 561-586, June.
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Cited by:
  1. Minea, Alexandru & Rault, Christophe, 2011. "External monetary shocks and monetary integration: Evidence from the Bulgarian currency board," Economic Modelling, Elsevier, Elsevier, vol. 28(5), pages 2271-2281, September.
  2. Claude Diebolt & Mamoudou Toure & Jamel Trabelsi, 2012. "Monetary Credibility Effects on Inflation Dynamics: A Macrohistorical Case Study," Working Papers, Association Française de Cliométrie (AFC) 12-04, Association Française de Cliométrie (AFC).
  3. Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS) 971, University of Warwick, Department of Economics.

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