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Canaux de transmission de la politique monétaire dans l'ue. Le cas de trois nouveaux entrants

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  • Jérôme Creel
  • Sandrine Levasseur

Abstract

A structural var model is used to investigate the relative importance of interest rate, exchange rate and credit channels in the monetary policy transmission in the Czech Republic, Hungary and Poland between 1995 and 2004. Main results are as follows. First, responses of industrial production to the monetary shocks are fast but are not long-lived. Second, there is no « price-puzzle » per se, but instead an « exchange rate puzzle ». Third, the credit channel is not yet very powerful. Over the recent period, the exchange rate and interest rate channels have played a more prominent role in Poland than in the Czech Republic and Hungary: entering emu may thus be more costly for Poland. Classification JEL : E51 ; E52 ; F31 ; P24 ; C32

Suggested Citation

  • Jérôme Creel & Sandrine Levasseur, 2006. "Canaux de transmission de la politique monétaire dans l'ue. Le cas de trois nouveaux entrants," Revue économique, Presses de Sciences-Po, vol. 57(4), pages 881-898.
  • Handle: RePEc:cai:recosp:reco_574_0881
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    References listed on IDEAS

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    1. Bonin, John & Wachtel, Paul, 2002. "Financial sector development in transition economies : Lessons from the first decade," BOFIT Discussion Papers 9/2002, Bank of Finland, Institute for Economies in Transition.
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    3. 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.
    4. Alessio Anzuini & Aviram Levy, 2004. "Financial structure and the transmission of monetary shocks: preliminary evidence for the Czech Republic, Hungary and Poland," Temi di discussione (Economic working papers) 514, Bank of Italy, Economic Research and International Relations Area.
    5. Peersman, Gert & Smets, Frank, 2001. "The monetary transmission mechanism in the euro area: more evidence from VAR analysis," Working Paper Series 0091, European Central Bank.
    6. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
    7. European Commission, 2010. "Financial Sector Taxation," Taxation Papers 25, Directorate General Taxation and Customs Union, European Commission.
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    10. repec:spo:wpecon:info:hdl:2441/2976 is not listed on IDEAS
    11. Jérôme Creel* & Sandrine Levasseur, 2007. "Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(1), pages 30-59, February.
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    14. Georgy Ganev & Krisztina Molnar & Krzysztof Rybinski & Przemyslaw Wozniak, 2002. "Transmission Mechanism of Monetary Policy in Centraland Eastern Europe," CASE Network Reports 0052, CASE-Center for Social and Economic Research.
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    Cited by:

    1. 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.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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