Monetary Transmission in three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions

Zsolt Darvas

No 903, Working Papers from Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest

Abstract: We study the transmission of monetary policy to macroeconomic variables with structural time-varying coefficient vector autoregressions in the Czech Republic, Hungary and Poland, in comparison with that in the euro area. These three countries have experienced changes in monetary policy regimes and went through substantial structural changes, which call for the use of a time-varying parameter analysis. Our results indicate that the impact on output of a monetary shock changed over time. At the point of the last observation of our sample, the fourth quarter of 2011, among the three countries, monetary policy was most powerful in Poland and not much less strong than the transmission in the euro area. We discuss various factors that can contribute to differences in monetary transmission, such as financial structure, labour market rigidities, industry composition, exchange rate regime, credibility of monetary policy and trade openness.

Keywords: monetary transmission; time-varying coefficient vector autoregressions; Kalman-filter (search for similar items in EconPapers)
JEL-codes: C32 E50 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2009-07-02, Revised 2012-04-30
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions (2013)
Working Paper: Monetary transmission in three central European economies- evidence from time-varying coefficient vector autoregressions (2012)
Working Paper: Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions (2012)
Working Paper: Monetary Transmission in Three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:mkg:wpaper:0903

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