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Monetary Policy in Transition: Structural Econometric Modelling and Policy Simulations

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  • Wojciech Maliszewski
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    Abstract

    In this paper I estimate a Bayesian structural VAR models for the Czech Republic and Poland, allowing for changes in parameters between the two monetary policy arrangements. The four-variables structural VAR methodology adopted in the study is successful in identifying monetary policy shocks and their effects for the Czech and Polish economies. The time-varying model is capable of detecting a change in the policy reaction function consistent with introduction of the floating exchange rate system and switching to short-term interest rate as the main policy instrument. The results indicate the dominant role of exchange rate in the monetary transmission mechanism.

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    File URL: http://www.case-research.eu/upload/publikacja_plik/561923_sa246.pdf
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    Bibliographic Info

    Paper provided by CASE-Center for Social and Economic Research in its series CASE Network Studies and Analyses with number 0246.

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    Length: 32 Pages
    Date of creation: 2002
    Date of revision:
    Handle: RePEc:sec:cnstan:0246

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    Related research

    Keywords: transition; monetary policy; inflation; structural vector autoregression; policy simulations;

    References

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    1. Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-68, November.
    2. Del Negro, Marco & Obiols-Homs, Francesc, 2001. "Has Monetary Policy Been so Bad that It Is Better to Get Rid of It? The Case of Mexico," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 404-33, May.
    3. Piero Ugolini, 1996. "National Bank of Poland," IMF Occasional Papers 144, International Monetary Fund.
    4. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
    5. Dibooglu, Selahattin & Kutan, Ali M., 2001. "Sources of inflation and output fluctuations in Poland and Hungary: Implications for full membership in the European Union," ZEI Working Papers B 16-2001, ZEI - Center for European Integration Studies, University of Bonn.
    6. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August.
    7. Wojciech S. Maliszewski, 2000. "Central Bank Independence in Transition Economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(3), pages 749-789, November.
    8. Horvath, Julius & Jonas, Jiri, 1998. "Exchange rate regimes in the transition economies: Case study of the Czech Republic: 1990-1997," ZEI Working Papers B 11-1998, ZEI - Center for European Integration Studies, University of Bonn.
    9. Peter Christoffersen & Torsten Sløk & Robert Wescott, 2001. "Is inflation targeting feasible in Poland?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 153-174, March.
    10. Gottschalk, Jan & Moore, David, 2001. "Implementing Inflation Targeting Regimes: The Case of Poland," Journal of Comparative Economics, Elsevier, vol. 29(1), pages 24-39, March.
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    Cited by:
    1. repec:onb:oenbwp:y:2006:i:1:b:1 is not listed on IDEAS
    2. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.
    3. Rebeca Jiménez-Rodriguez & Amalia Morales-Zumaquero & Balazs Egert, 2010. "The VARying Effect of Foreign Shocks in Central and Eastern Europe," CESifo Working Paper Series 3080, CESifo Group Munich.
    4. MEZUI-MBENG, Pamphile, 2010. "Tramsission de la politique monétaire: le cas des pays de la CEMAC
      [Monetary policy transmission: the case of the CEMAC]
      ," MPRA Paper 26032, University Library of Munich, Germany.
    5. Jiménez-Rodríguez, Rebeca & Morales-Zumaquero, Amalia & Égert, Balázs, 2010. "The effect of foreign shocks in Central and Eastern Europe," Journal of Policy Modeling, Elsevier, vol. 32(4), pages 461-477, July.
    6. Balazs Egert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," CESifo Working Paper Series 1739, CESifo Group Munich.
    7. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission in Central and Eastern Europe: Gliding on a Wind of Change," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 44-87.
    8. Jérôme Héricourt & Iuliana Matei, 2007. "Transmission de la politique monétaire dans les Pays d'Europe Centrale et Orientale : que savons-nous vraiment ?," Économie et Prévision, Programme National Persée, vol. 180(4), pages 221-238.
    9. Jérôme Héricourt, 2005. "Monetary policy transmission in the CEECs : revisited results using alternative econometrics," Cahiers de la Maison des Sciences Economiques bla05020, Université Panthéon-Sorbonne (Paris 1).

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