Responses to monetary policy shocks in the east and the west of Europe - a comparison

Marek Jarociński

No 970, Working Paper Series from European Central Bank

Abstract: This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines information across countries. The impulse responses in the NMS are broadly similar to those in the euro area countries. There is some evidence that in the NMS, which have had higher and more volatile inflation, the Phillips curve is steeper than in the euro area countries. This finding is consistent with economic theory. JEL Classification: C11, C32, C33, E40, E52.

Keywords: monetary policy transmission; Structural VAR; Bayesian estimation; exchangeable prior. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-tra
Date: 2008-11
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp970.pdf (application/pdf)

Related works:
Journal Article: Responses to monetary policy shocks in the east and the west of Europe: a comparison (2010)
Working Paper: Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (2007)
Working Paper: Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (2004)
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: http://EconPapers.repec.org/RePEc:ecb:ecbwps:20080970

Ordering information: This working paper can be ordered from
Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank
Address: Postfach 16 03 19, Frankfurt am Main, Germany
Contact information at EDIRC.
Series data maintained by Official Publications ().