The Effects of Monetary Policy in the Czech Republic: An Empirical Study
Magdalena Morgese Borys and
Roman Horvath
No 1109, International Trade and Finance Association Conference Papers from International Trade and Finance Association
Abstract:
In this paper, we examine the effects of Czech monetary policy on the economy within the VAR, structural VAR, and factor-augmented VAR frameworks. We document a well-functioning transmission mechanism similar to the euro area countries, especially in terms of persistence of monetary policy shocks. Subject to various sensitivity tests, we find that a contractionary monetary policy shock has a negative effect on the degree of economic activity and the price level, both with a peak response after one year or so. Regarding prices at the sectoral level, tradables adjust faster than non-tradables, which is in line with microeconomic evidence on price stickiness. There is no price puzzle, as our data come from a single monetary policy regime. There is a rationale in using the real-time output gap instead of current GDP growth, as using the former results in much more precise estimates. The results indicate a rather persistent appreciation of the domestic currency after a monetary tightening, with a gradual depreciation afterwards.This paper was presented at the 18th International Conference of the International Trade and Finance Association, meeting at Universidade Nova de Lisboa, Lisbon, Portugal, on May 23, 2008.
Date: 2008-07-29
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-tra
References: Add references at CitEc
Citations: View citations in EconPapers (8)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: The effects of monetary policy in the Czech Republic: an empirical study (2009) 
Working Paper: The Effects of Monetary Policy in the Czech Republic: An Empirical Study (2008) 
Working Paper: The Effects of Monetary Policy in the Czech Republic: An Empirical Study (2008) 
Working Paper: The Effects of Monetary Policy in the Czech Republic: An Empirical Study (2007) 
Working Paper: The Effects of Monetary Policy in the Czech Republic: An Empirical Study (2007) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bep:itfapp:1109
Access Statistics for this paper
More papers in International Trade and Finance Association Conference Papers from International Trade and Finance Association
Bibliographic data for series maintained by Christopher F. Baum ().