Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions

Arbeitspapier

We study the transmission of monetary policy to macroeconomic variables with structural time-varying coefficient vector autoregressions in the Czech Republic, Hungary and Poland, in comparison with that in the euro area. These three countries have experienced changes in monetary policy regimes and went through substantial structural changes, which call for the use of a time-varying parameter analysis. Our results indicate that the impact on output of a monetary shock changed over time. At the point of the last observation of our sample, the fourth quarter of 2011, among the three countries, monetary policy was most powerful in Poland and not much less strong than the transmission in the euro area. We discuss various factors that can contribute to differences in monetary transmission, such as financial structure, labour market rigidities, industry composition, exchange rate regime, credibility of monetary policy and trade openness.

Object Details

• ISBN: 978-615-5243-17-2
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IEHAS Discussion Papers ; No. MT-DP - 2012/19

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General
• Subject: monetary transmission ; time-varying coefficient vector autoregressions ; Kalman-filter ; Geldpolitische Transmission ; Wechselkurssystem ; VAR-Modell ; Zustandsraummodell ; Ungarn ; Polen ; Tschechische Republik

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Darvas, Zsolt
• Event: Veröffentlichung
• (who): Hungarian Academy of Sciences, Institute of Economics, Centre for Economic and Regional Studies
• (where): Budapest
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/108252
• Last update: 10.03.2025, 11:44 AM CET