Monetary policy transmission: the case of Lithuania
Julius Stakenas () and
Rasa Stasiukynaite ()
Additional contact information
Julius Stakenas: Bank of Lithuania
Rasa Stasiukynaite: Bank of Lithuania
No 24, Bank of Lithuania Working Paper Series from Bank of Lithuania
In this paper we study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. For this purpose we employ a structural vector autoregressive (SVAR) model incorporating variables from both, the euro area and Lithuania. We identify the system using short-term zero restrictions. The model exhibits a block exogenous structure to account for the fact that Lithuania is a small economy and Lithuanian macro variables do not have a significant effect on the euro area variables. In general, we find that a monetary policy shock in the euro area has a stronger effect on the Lithuanian economy than it does on the euro area economy, though the effects are not significant, preventing firm conclusions. We further broaden our analysis employing a panel VAR model for the three Baltic states. This allows us to not only explore the time variation of the euro area monetary policy transmission in the Baltics, but also helps to verify our initial results. The effects are stronger when estimated using the panel VAR model.
Keywords: monetary policy; SVAR; panel VAR (search for similar items in EconPapers)
JEL-codes: C32 C33 E52 (search for similar items in EconPapers)
Pages: 25 pages
New Economics Papers: this item is included in nep-cba, nep-pr~, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.lb.lt/en/publications/no-24-monetary-p ... he-case-of-lithuania Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 301 [REDIRECT LOOP] Moved Permanently (https://www.lb.lt/en/publications/no-24-monetary-policy-transmission-the-case-of-lithuania [302 Found]--> http://www.lb.lt/ [301 Moved Permanently]--> https://www.lb.lt/ [302 Found]--> http://www.lb.lt/ [301 Moved Permanently]--> https://www.lb.lt/ [302 Found]--> http://www.lb.lt/ [301 Moved Permanently]--> https://www.lb.lt/ [302 Found]--> http://www.lb.lt/)
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:lie:wpaper:24
Access Statistics for this paper
More papers in Bank of Lithuania Working Paper Series from Bank of Lithuania Bank of Lithuania Gedimino pr. 6, LT-01103 Vilnius, Lithuania. Contact information at EDIRC.
Bibliographic data for series maintained by Povilas Lastauskas ().