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Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach)

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  • Mirdala, Rajmund

Abstract

The stable macroeconomic environment, as one of the primary objectives of the Visegrad countries in the 1990s, was partially supported by the exchange rate policy. Fixed exchange rate systems within gradually widen bands (Czech republic, Slovak republic) and crawling peg system (Hungary, Poland) were replaced by the managed floating in the Czech republic (May 1997), Poland (April 2000), Slovak republic (October 1998) and fixed exchange rate to euro with broad band in Hungary (October 2001). Higher macroeconomic and banking sector stability allowed countries from the Visegrad group to implement the monetary policy strategy based on the interest rate transmission mechanism. Continuous harmonization of the monetary policy framework (with the monetary policy of the ECB) and the increasing sensitivity of the economy agents to the interest rates changes allowed the central banks from the Visegrad countries to implement monetary policy strategy based on the key interest rates determination. In the paper we analyze the impact of the central banks’ monetary policy in the Visegrad countries on the selected macroeconomic variables in the period 1999-2008 implementing SVAR (structural vector autoregression) approach. We expect that the higher sensitivity of the selected macroeconomic indicators of the EMÚ candidate countries to the national monetary policy shocks would indicate the higher exposure of the selected countries to the ECB monetary policy impulses after the euro adoption in the future.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14072.

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Date of creation: Feb 2009
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Handle: RePEc:pra:mprapa:14072

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Keywords: monetary policy; short-term interest rates; structural vector autoregression; variance decomposition; impulse-response function;

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  1. Richard Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
  2. Jaromír Šindel & Stanislav Šaroch, 2008. "The political economy of exchange rate policy in central and east european countries - sector approach," Politická ekonomie, University of Economics, Prague, University of Economics, Prague, vol. 2008(1), pages 17-39.
  3. Tamim Bayoumi and Barry Eichengreen., 1992. "Shocking Aspects of European Monetary Unification," Economics Working Papers, University of California at Berkeley 92-187, University of California at Berkeley.
  4. Sousa, Joao Miguel & Zaghini, Andrea, 2007. "Global monetary policy shocks in the G5: A SVAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(5), pages 403-419, December.
  5. Agnieszka Stazka, 2006. "Sources of Real Exchange Rate Fluctuations in Central and Eastern Europe – Temporary or Permanent?," CESifo Working Paper Series 1876, CESifo Group Munich.
  6. Schröder, Michael & Hüfner, Felix P., 2002. "Exchange rate pass-through to consumer prices: a European perspective," ZEW Discussion Papers 02-20, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  7. Stavarek Daniel, 2008. "Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective," South East European Journal of Economics and Business, De Gruyter Open, vol. 3(2), pages 7-18, November.
  8. Sabine Herrmann & Axel Jochem, 2003. "Real and nominal convergence in the central and east European accession countries," Intereconomics: Review of European Economic Policy, Springer, Springer, vol. 38(6), pages 323-327, November.
  9. Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of Monetary Unification," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley qt791143kp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
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Cited by:
  1. Stavarek, Daniel & Dohnal, Marek, 2009. "Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model," MPRA Paper 15744, University Library of Munich, Germany.
  2. Adnen Chockri & Ibticem Frihka, 2011. "La portée de la politique de ciblage d’inflation: Approche analytique et empirique pour le cas Tunisien," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(1), pages 91-111, March.

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