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Using extraneous information to analyze monetary policy in transition economies

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  • Gavin, William T.
  • Kemme, David M.

Abstract

Empirical macroeconomics is plagued by small sample size and large idiosyncratic variation. This problem is especially severe in the case of the transition economies. We utilize a mixed-estimation method incorporating prior information from OECD country data to estimate the parameters of a reduced-form transition economy model. An exactly identified structural VAR model is constructed to analyze monetary policy in the transition economies. The OECD information increases the precision of the impulse response functions in the transition economies. The method provides a systematic way to analyze monetary policy in the transition economies where data availability is limited.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 28 (2009)
Issue (Month): 5 (September)
Pages: 868-879

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Handle: RePEc:eee:jimfin:v:28:y:2009:i:5:p:868-879

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Web page: http://www.elsevier.com/locate/inca/30443

Related research

Keywords: Transition economy Monetary transmission mechanisms Structural VAR Mixed estimation;

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References

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Citations

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Cited by:
  1. Marek Jarocinski, 2010. "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 833-868.
  2. Magdalena Morgese Borys & Roman Horvath, 2008. "The Effects of Monetary Policy in the Czech Republic: An Empirical Study," International Trade and Finance Association Conference Papers 1109, International Trade and Finance Association.
  3. Jimborean, Ramona, 2009. "The role of banks in the monetary policy transmission in the new EU member states," Economic Systems, Elsevier, vol. 33(4), pages 360-375, December.
  4. Alexandru Minea & Christophe Rault, 2011. "External Monetary Shocks and Monetary Integration: Evidence from the Bulgarian Currency Board," CESifo Working Paper Series 3409, CESifo Group Munich.
  5. Zlatina Balabanova & Ralf Brüggemann, 2012. "External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-05, Department of Economics, University of Konstanz.
  6. Vasile Cocris & Anca Elena Nucu, 2013. "Monetary policy and financial stability: empirical evidence from Central and Eastern European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 13(1), pages 75-98, July.
  7. Alfred A. Haug & Tomasz Jedrzejowicz & Anna Sznajderska, 2013. "Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy," Working Papers 1313, University of Otago, Department of Economics, revised Oct 2013.
  8. Soyoung Kim & Doo Yang, 2011. "The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?," Open Economies Review, Springer, vol. 22(2), pages 293-315, April.

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