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Monetary policy shocks in the new EU members: a VAR approach

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  • Alessio Anzuini
  • Aviram Levy

Abstract

The article provides empirical evidence on the effects of monetary policy shocks in the three largest new European Union (EU) economies: Czech Republic, Hungary and Poland. Vector autoregression (VAR) system estimates show that the co-movement of macroeconomic variables, conditional on a monetary policy shock, is similar across these countries and, despite their lower degree of financial development, not dissimilar to that found for more advanced European economies. While qualitatively similar to the responses observed in the old EU members, the responses of the new members are, on average, weaker.

Suggested Citation

  • Alessio Anzuini & Aviram Levy, 2007. "Monetary policy shocks in the new EU members: a VAR approach," Applied Economics, Taylor & Francis Journals, vol. 39(9), pages 1147-1161.
    • Handle: RePEc:taf:applec:v:39:y:2007:i:9:p:1147-1161
    DOI: 10.1080/00036840600592866
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    References listed on IDEAS

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    1. Mr. Michael Frenkel & Mr. Christiane Nickel, 2002. "How Symmetric Are the Shocks and the Shock Adjustment Dynamics Between the Euro Area and Central and Eastern European Countries?," IMF Working Papers 2002/222, International Monetary Fund.
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    5. Mojon, Benoît & Peersman, Gert, 2001. "A VAR description of the effects of monetary policy in the individual countries of the euro area," Working Paper Series 92, European Central Bank.
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