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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. Eugenio Gaiotti & Alessandro Secchi, 2004. "Is there a cost channel of monetary policy transmission? An investigation into the pricing behavior of 2,000 firms," Macroeconomics 0412010, EconWPA.
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  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.
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