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The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis

  • Gábor Pellényi

    ()

    (Magyar Nemzeti Bank (central bank of Hungary))

This paper uses a structural factor model to analyze sectoral heterogeneity in the impact of monetary policy in Hungary. Monetary shocks are identified with sign restrictions. The impulse responses of aggregate variables are similar to the findings of previous VAR based studies. The sectoral responses reveal considerable heterogeneity. In particular, sectors more reliant on external finance show larger output responses, while healthier corporate balance sheets imply weaker price responses. These results suggest that the credit channel of monetary transmission is operating in Hungary as well. In addition, there appears some role for the interest sensitivity of demand and price rigidities in explaining the heterogeneity of sectoral responses.

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File URL: http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_mnbfuzetek/WP_2012-01.pdf
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Paper provided by Magyar Nemzeti Bank (the central bank of Hungary) in its series MNB Working Papers with number 2012/1.

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Length: 42 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:mnb:wpaper:2012/1
Contact details of provider: Web page: http://www.mnb.hu/

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  1. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
  2. Forni, Mario & Lippi, Marco, 2000. "The Generalized Dynamic Factor Model: Representation Theory," CEPR Discussion Papers 2509, C.E.P.R. Discussion Papers.
  3. Jarociński, Marek, 2008. "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Working Paper Series 0970, European Central Bank.
  4. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
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  8. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
  9. Ágnes Horváth & Zoltán M. Jakab & Gábor P. Kiss & Balázs Párkányi, 2006. "Myths and Maths: Macroeconomic Effects of Fiscal Adjustments in Hungary," MNB Occasional Papers 2006/52, Magyar Nemzeti Bank (the central bank of Hungary).
  10. Zoltán M. Jakab & Viktor Várpalotai & Balázs Vonnák, 2006. "How does monetary policy affect aggregate demand? A multimodel approach for Hungary," MNB Working Papers 2006/4, Magyar Nemzeti Bank (the central bank of Hungary).
  11. Hayo, Bernd & Uhlenbrock, Birgit, 1999. "Industry effects of monetary policy in Germany," ZEI Working Papers B 14-1999, ZEI - Center for European Integration Studies, University of Bonn.
  12. Zoltán Reppa, 2009. "A joint macroeconomic-yield curve model for Hungary," MNB Working Papers 2009/1, Magyar Nemzeti Bank (the central bank of Hungary).
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  14. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  15. Eugenio Gaiotti & Alessandro Secchi, 2004. "Is there a cost channel of monetary policy transmission? An investigation into the pricing behaviour of 2,000 firms," Temi di discussione (Economic working papers) 525, Bank of Italy, Economic Research and International Relations Area.
  16. Zoltán M. Jakab & Éva Kaponya, 2010. "A Structural Vector Autoregressive (SVAR) model for the Hungarian labour market," MNB Working Papers 2010/11, Magyar Nemzeti Bank (the central bank of Hungary).
  17. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta.
  18. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
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