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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://www.mnb.hu/letoltes/wp-2012-01.pdf
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Paper provided by Magyar Nemzeti Bank (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 & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 0712, European Central Bank.
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  12. 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 (Central Bank of Hungary).
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  16. 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.
  17. 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.
  18. 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 (Central Bank of Hungary).
  19. 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 (Central Bank of Hungary).
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