Monetary Policy in Transition: Structural Econometric Modelling and Policy Simulations
In this paper I estimate a Bayesian structural VAR models for the Czech Republic and Poland, allowing for changes in parameters between the two monetary policy arrangements. The four-variables structural VAR methodology adopted in the study is successful in identifying monetary policy shocks and their effects for the Czech and Polish economies. The time-varying model is capable of detecting a change in the policy reaction function consistent with introduction of the floating exchange rate system and switching to short-term interest rate as the main policy instrument. The results indicate the dominant role of exchange rate in the monetary transmission mechanism.
|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Postal: Aleja Jana Pawla II, 61, 01-031 Warsaw|
Phone: +48 22 206 29 00
Fax: +48 22 206 29 01
Web page: http://www.case-research.eu/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dibooglu, Selahattin & Kutan, Ali M., 2001. "Sources of inflation and output fluctuations in Poland and Hungary: Implications for full membership in the European Union," ZEI Working Papers B 16-2001, University of Bonn, ZEI - Center for European Integration Studies.
- DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
- Horvath, Julius & Jonas, Jiri, 1998. "Exchange rate regimes in the transition economies: Case study of the Czech Republic: 1990-1997," ZEI Working Papers B 11-1998, University of Bonn, ZEI - Center for European Integration Studies.
- Piero Ugolini, 1996. "National Bank of Poland; The Road to Indirect Instruments," IMF Occasional Papers 144, International Monetary Fund.
- Cushman, David O. & Zha, Tao, 1997.
"Identifying monetary policy in a small open economy under flexible exchange rates,"
Journal of Monetary Economics,
Elsevier, vol. 39(3), pages 433-448, August.
- David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," FRB Atlanta Working Paper 95-7, Federal Reserve Bank of Atlanta.
- Sims, Christopher A & Zha, Tao, 1998.
"Bayesian Methods for Dynamic Multivariate Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-68, November.
- Peter Christoffersen & Torsten Sløk & Robert Wescott, 2001. "Is inflation targeting feasible in Poland?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 153-174, March.
- Gottschalk, Jan & Moore, David, 2001. "Implementing Inflation Targeting Regimes: The Case of Poland," Journal of Comparative Economics, Elsevier, vol. 29(1), pages 24-39, March.
- Marco Del Negro & Francesc Obiols-Homs, 2001.
"Has monetary policy been so bad that it is better to get rid of it? The case of Mexico,"
Federal Reserve Bank of Cleveland, pages 404-439.
- Del Negro, Marco & Obiols-Homs, Francesc, 2001. "Has Monetary Policy Been so Bad that It Is Better to Get Rid of It? The Case of Mexico," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 404-33, May.
- Marco Del Negro & Francesc Obiols-Homs, 2000. "Has monetary policy been so bad that it is better to get rid of it? the case of Mexico," FRB Atlanta Working Paper 2000-26, Federal Reserve Bank of Atlanta.
- Wojciech S. Maliszewski, 2000. "Central Bank Independence in Transition Economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(3), pages 749-789, November.
When requesting a correction, please mention this item's handle: RePEc:sec:cnstan:0246. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Agata Kwiek)
If references are entirely missing, you can add them using this form.