This paper provides evidence on the short-run reactions of an emerging financial market to monetary policy announcements. An instrumental variable estimation approach is employed, based on the 'identification through heteroscedasticity’ technique, to estimate the impact of a change in the official interest rate and its surprise component on asset prices in Poland. The recently introduced methodology controls for possible feedback relationships between financial variables and official interest rate changes. In this analysis, the short-term interest rates respond significantly to official interest rate changes, but neither the long-term interest rates, stock indices, nor foreign exchange rates react to monetary announcements in the expected direction.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 16 (2006) Issue (Month): 7 (April) Pages: 513-523 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF