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Transmission Lags of Monetary Policy: A Meta-Analysis

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  • Tomas Havranek

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  • Marek Rusnak

Abstract

The transmission of monetary policy to the economy is generally thought to have long and variable lags. In this paper we quantitatively review the modern literature on monetary transmission in transition and developed countries to provide stylized facts on the average lag length and the sources of variability. We collect 67 published studies and examine when prices bottom out after a monetary contraction. The average transmission lag is 29 months, and the maximum decrease in prices reaches 0.9% on average after a one-percentagepoint hike in the policy rate. Transmission lags are longer in developed economies (25{50 months) than in transition economies (10{20 months). We nd that the factor most e ective in explaining this heterogeneity is nancial development: greater nancial development is associated with slower transmission. Our results also suggest that researchers who use monthly data instead of quarterly data report systematically faster transmission.

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Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp1038.

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Length: pages
Date of creation: 01 Oct 2012
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Handle: RePEc:wdi:papers:2012-1038

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Keywords: Monetary policy transmission; vector autoregressions; metaanalysis;

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Cited by:
  1. Alfred A.Haug & Tomasz Jędrzejowicz & Anna Sznajderska, 2013. "Combining monetary and fiscal policy in an SVAR for a small open economy," National Bank of Poland Working Papers, National Bank of Poland, Economic Institute 168, National Bank of Poland, Economic Institute.
  2. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2014. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers, Czech National Bank, Research Department 2014/06, Czech National Bank, Research Department.
  3. Kamil Galuscak & Adam Gersl & Marcela Gronychova & Petr Hlavac & Petr Jakubik & Lubos Komarek & Zlatuse Komarkova & Tomas Konecny & Jakub Seidler, 2014. "Stress-Testing Analyses of the Czech Financial System," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, Czech National Bank, Research Department, edition 1, volume 12, number rb12/1 edited by Jan Babecky & Roman Horvath, August.
  4. Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Kamil Galuscak & Tomas Holub & Eva Hromadkova & Narcisa Liliana Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Petr Kral & Ivana Kubicova & Ji, 2012. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2012," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, Czech National Bank, Research Department, number as12 edited by Romana Zamazalova & Jakub Mateju, August.
  5. Oxana Babecka Kucharcukova & Michal Franta & Dana Hajkova & Petr Kral & Ivana Kubicova & Anca Podpiera & Branislav Saxa, 2013. "What We Know About Monetary Policy Transmission in the Czech Republic: Collection of Empirical Results," Research and Policy Notes, Czech National Bank, Research Department 2013/01, Czech National Bank, Research Department.
  6. Jakub Mateju, 2013. "Explaining the Strength and the Efficiency of Monetary Policy Transmission: A Panel of Impulse Responses from a Time-Varying Parameter Model," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2013/18, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2013.
  7. Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Jan Bruha & Tomas Holub & Eva Hromadkova & David Kocourek & Lubos Komarek & Zlatuse Komarkova & Kamila Kulhava & Petr Kral & Ivana Kubicova & Ji, 2013. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2013," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, Czech National Bank, Research Department, number as13 edited by Jakub Mateju & Kamila Kulhava, August.
  8. Michael T. Belongia & Peter N. Ireland, 2013. "Instability: Monetary and Real," Boston College Working Papers in Economics, Boston College Department of Economics 830, Boston College Department of Economics.
  9. Robert Ambrisko & Vitezslav Augusta & Jan Babecky & Michal Franta & Dana Hajkova & Petr Kral & Jan Libich & Pavla Netusilova & Milan Rikovsky & Jakub Rysanek & Pavel Soukup & Petr Stehlik & Vilem Vale, 2013. "Macroeconomic Effects of Fiscal Policy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, Czech National Bank, Research Department, edition 2, volume 11, number rb11/2 edited by Jan Babecky & Kamil Galuscak, August.

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