Effects of Monetary Policy Shocks in Slovakia
Judita Jurašeková Kucserová
No DP 1/2009, Working and Discussion Papers from Research Department, National Bank of Slovakia
This paper presents the results of empirical investigation into Slovak monetary policy shocks’ impacts on the economy. For estimating purposes, structural VAR based impulse responses of output, prices, exchange rates and short-term interest rates on structural disturbances selected by sign restrictions are studied. In most cases, to improve the quality of monetary policy shock definition, additional identification of historical shocks is provided. As a conclusion, unanticipated 50 basis points increase of the key interest rate lowers prices by up to 0.4% against the baseline. As expected, peak response is reached about one year after the shock at the latest. However, the effect on output is conflicting, suggesting that variations in monetary policy account for little variation in output.
Keywords: Structural Shocks; Monetary Policy Transmission Mechanism; Sign Restrictions (search for similar items in EconPapers)
JEL-codes: C32 C51 E52 (search for similar items in EconPapers)
Pages: 29 pages
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1005
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