Transmission effects in the presence of structural breaks: Evidence from South-Eastern European countries
Minoas Koukouritakis (),
Athanasios Papadopoulos () and
Economic Modelling, 2014, vol. 41, issue C, 298-311
In this paper, we investigate the monetary transmission mechanism through interest rate and real effective exchange rate channels, for five South-Eastern European countries, namely Bulgaria, Croatia, Greece, Romania and Turkey. Recent unit root and cointegration techniques in the presence of structural breaks in the data are used in the analysis. The empirical results validate the existence of a valid long-run relationship, with parameter constancy, for each of the five sample countries. Additionally, the estimated impulse response functions regarding the monetary variables and the real effective exchange rate converge and follow a reasonable pattern in all cases.
Keywords: Monetary transmission mechanism; Structural breaks; LM unit root tests; Cointegration tests; Impulse responses (search for similar items in EconPapers)
JEL-codes: E43 F15 F42 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Transmission effects in the presence of structural breaks: evidence from south-eastern European countries (2014)
Working Paper: Transmission Effects in the Presence of Structural Breaks: Evidence from South-Eastern European Countries (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:41:y:2014:i:c:p:298-311
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().