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Transmission effects in the presence of structural breaks: evidence from south-eastern European countries

Minoas Koukouritakis (), Athanasios Papadopoulos () and Andreas Yannopoulos
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Andreas Yannopoulos: University of Crete

No 172, Working Papers from Bank of Greece

Abstract: 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)
Pages: 38
Date: 2014-01
New Economics Papers: this item is included in nep-cwa, nep-eec, nep-mac and nep-tra
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http://www.bankofgreece.gr/BogEkdoseis/Paper2013172.pdf Full Text (application/pdf)

Related works:
Journal Article: Transmission effects in the presence of structural breaks: Evidence from South-Eastern European countries (2014) Downloads
Working Paper: Transmission Effects in the Presence of Structural Breaks: Evidence from South-Eastern European Countries (2013) Downloads
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