THE MONETARY TRANSMISSION MECHANISMS IN THE CEECS: A STRUCTURAL VAR APPROACH

Cornel Oros and Camelia Romocea-Turcu
Authors registered in the RePEc Author Service: Camelia ROMOCEA TURCU

Applied Econometrics and International Development, 2009, vol. 9, issue 2

Abstract: This paper deals with the monetary policy transmission channels of six Central European countries: CEECs – Hungary, Poland, Czech Republic, Romania, Slovakia and Slovenia – over recent periods corresponding to stable monetary regimes. We will take into account three channels – the interest rate, the exchange rate and the domestic credit – whose relative importance will be accounted for using a structural VAR model. The results show that all the countries share a weak domestic credit channel while they are highly heterogeneous with regards to the relative effectiveness of the interest rate and exchange rate channels. Thus, Hungary and Poland’s distinctive feature is the presence of a price puzzle effect combined with a high influence of the exchange rate which acts both as a mechanism of monetary policy transmission and as a supply and demand shock absorber. On the contrary, just like in the case of the Euro zone countries, it is the interest rate channel that has the major influence in the case of the Czech Republic, Slovakia, Slovenia and partially Romania. Therefore, this latter group appears to be more apt to join the EMU in the near future, which can be confirmed by the Slovenian case.

Keywords: VAR models; monetary policy transmission; CEECs (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 P24 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: The Monetary Transmission Mechanisms in the CEECs: A Structural VAR Approach (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eaa:aeinde:v:9:y:2009:i:2_7

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