Euro area monetary policy transmission in Estonia

Gertrud Errit () and Lenno Uusküla
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Gertrud Errit: Economics and Research Department, Bank of Estonia, Tallinn, Estonia

Baltic Journal of Economics, 2014, vol. 14, issue 1-2, 55-77

Abstract: This paper studies the effect of a monetary policy shock in the euro area on the main Estonian economic and financial variables between 2000 and 2012. Using a standard structural vector autoregression (SVAR) model we find strong and persistent effects on Estonian GDP, private consumption, corporate investment, and imports. A monetary policy shock also has strong and sluggish effects on the housing loan and consumer credit interest rates. The estimated reaction of Estonian GDP and the GDP deflator-based inflation rate is about four times stronger than the reaction of euro area-wide aggregates. The strength of the impact depends on the inclusion of the data from the years of the recent financial and economic crisis.

Keywords: Estonia; euro area; monetary policy; SVAR (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Euro Area monetary policy transmission in Estonia (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bic:journl:v:14:y:2014:i:1-2:p:55-77

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