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Effects of Monetary Policy Shocks in Slovakia

  • Judita Jurasekova Kucserova


    (Research Department, National Bank of Slovakia)

This paper presents the results of empirical investigation into Slovak monetary policy shocks’ impacts on the economy. For estimating purposes, structural VAR based impulse responses of output, prices, exchange rates and short-term interest rates on structural disturbances selected by sign restrictions are studied. In most cases, to improve the quality of monetary policy shock definition, additional identification of historical shocks is provided. As a conclusion, unanticipated 50 basis points increase of the key interest rate lowers prices by up to 0.4% against the baseline. As expected, peak response is reached about one year after the shock at the latest. However, the effect on output is conflicting, suggesting that variations in monetary policy account for little variation in output.

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Paper provided by Research Department, National Bank of Slovakia in its series Working and Discussion Papers with number DP 1/2009.

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Length: 29 pages
Date of creation: Jul 2009
Date of revision:
Handle: RePEc:svk:wpaper:1005
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  1. Giordani, Paolo, 2001. "An Alternative Explanation of the Price Puzzle," Working Paper Series 125, Sveriges Riksbank (Central Bank of Sweden).
  2. Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 121-184 National Bureau of Economic Research, Inc.
  3. Jesus Crespo Cuaresma & Balázs Égert & Thomas Reininger, 2006. "Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 88-111.
  4. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
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