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Transmission effects in the presence of structural breaks: evidence from south-eastern European countries

Listed author(s):
  • Minoas Koukouritakis

    ()

    (University of Crete)

  • Athanasios P. Papadopoulos

    (University of Crete)

  • Andreas Yannopoulos

    (University of Crete)

In this paper, we investigate the monetary transmission mechanism through interest rate and real effective exchange rate channels, for five South-Eastern European countries, namely Bulgaria, Croatia, Greece, Romania and Turkey. Recent unit root and cointegration techniques in the presence of structural breaks in the data are used in the analysis. The empirical results validate the existence of a valid long-run relationship, with parameter constancy, for each of the five sample countries. Additionally, the estimated impulse response functions regarding the monetary variables and the real effective exchange rate converge and follow a reasonable pattern in all cases.

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File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper2013172.pdf
File Function: Full Text
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Paper provided by Bank of Greece in its series Working Papers with number 172.

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Length: 38
Date of creation: Jan 2014
Handle: RePEc:bog:wpaper:172
Contact details of provider: Web page: http://www.bankofgreece.gr

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  1. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January.
  2. Egert, Balazs & Crespo-Cuaresma, Jesus & Reininger, Thomas, 2007. "Interest rate pass-through in central and Eastern Europe: Reborn from ashes merely to pass away?," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 209-225.
  3. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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