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

Author

Listed:
  • Minoas Koukouritakis

    () (University of Crete)

  • Athanasios P. Papadopoulos

    (University of Crete)

  • Andreas Yannopoulos

    (University of Crete)

Abstract

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.

Suggested Citation

  • Minoas Koukouritakis & Athanasios P. Papadopoulos & Andreas Yannopoulos, 2014. "Transmission effects in the presence of structural breaks: evidence from south-eastern European countries," Working Papers 172, Bank of Greece.
  • Handle: RePEc:bog:wpaper:172
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    References listed on IDEAS

    as
    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.
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    1. repec:taf:defpea:v:28:y:2017:i:6:p:703-718 is not listed on IDEAS

    More about this item

    Keywords

    Monetary Transmission Mechanism; Structural Breaks; LM Unit Root Tests; Cointegration Tests; Impulse Responses.;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F15 - International Economics - - Trade - - - Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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