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Using extraneous information to analyze monetary policy in transition economies

  • Gavin, William T.
  • Kemme, David M.

Empirical macroeconomics is plagued by small sample size and large idiosyncratic variation. This problem is especially severe in the case of the transition economies. We utilize a mixed-estimation method incorporating prior information from OECD country data to estimate the parameters of a reduced-form transition economy model. An exactly identified structural VAR model is constructed to analyze monetary policy in the transition economies. The OECD information increases the precision of the impulse response functions in the transition economies. The method provides a systematic way to analyze monetary policy in the transition economies where data availability is limited.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 28 (2009)
Issue (Month): 5 (September)
Pages: 868-879

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Handle: RePEc:eee:jimfin:v:28:y:2009:i:5:p:868-879
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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