Popescu, Iulia Vasile (2012): Effects of monetary policy in Romania. A VAR approach.
Download (490Kb) | Preview
Understanding how monetary policy decisions affect inflation and other economic variables is particularly important. In this paper we consider the implications of monetary policy under inflation targeting regime in Romania based on a vector autoregressive method including recursive VAR and structural VAR (SVAR). Therefore, we focus on assessing the extent and persistence of monetary policy effects on gross domestic product (GDP), price level, extended monetary aggregate (M3) and exchange rate. The main results of VAR analysis reflect a negative response of consumer price index (CPI), GDP and M3 and positive nominal exchange rate behaviour to a monetary policy shock, and also a limited impact of a short-term interest rate shock in explaining the consumer prices, production and exchange rate fluctuations.
|Item Type:||MPRA Paper|
|Original Title:||Effects of monetary policy in Romania. A VAR approach.|
|English Title:||Effects of monetary policy in Romania. A VAR approach.|
|Keywords:||monetary policy; transmission mechanism; vector autoregressions|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
|Depositing User:||Iulian Vasile Popescu|
|Date Deposited:||04. Oct 2012 10:42|
|Last Modified:||14. Feb 2013 20:50|
Andrieş, M., A. (2008) Monetary policy transmission mechanism in Romania - a VAR approach, Financial and monetary policies in European Union, accessed on July 2012 at http://www.asociatiaeconomistilor.ro/documente/Conferinta_FABBV_engleza.pdf
Angeloni, I., Kashyapk, A., Mojon, B. (2003) Monetary Policy Transmission in the Euro Area, European Central Bank, Working Paper No. 240, accessed on July 2012 at http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp240.pdf.
Antohi, D., Udrea, I., Braun, H. (2003) Mecanismul de transmisie a politicii monetare în România, Caiet de studii nr.13/ 2003, BNR, accessed on July 2012 at http://www.bnro.ro/PublicationDocuments.aspx?icid=6786.
Anzuini, A., Levy, A. (2007) Monetary policy shocks in the new EU members: a VAR approach. Applied Economics 39(9), pp.1147–1161, accessed on June 2012 at http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kutatas/mnben_konf_fomenu/mnben_3rdconference/anzuini.pdf.
Bernake, B. (1986) Alternative explanations of money-income correlation, Carnegie-Rochester Conference Series on Public Policy 25, accessed on July 2012 at http://www.nber.org/papers/w1842
Boivin, J., Kiley, M.,T., Mishkin, F., S. (2010) How has the monetary transmission mechanism evolved over time?, NBER Working Paper No 15879, accessed on July 2012 at http://www.nber.org/papers/w15879.
Boţel, C. (2002) Cauzele inflaţiei în România, iunie 1997-august 2001. Analiză bazată pe vectorul autoregresiv structural, Caiet de studii nr.11/ 2002, BNR, accessed on July 2012 at http://www.bnro.ro/PublicationDocuments.aspx?icid=6786.
Cecioni, M., Neri, S. (2010) The monetary transmission in the euro area: has it changed and why? accessed on July 2012 at http://www.dynare.org/DynareConference2010/Cecioni_Neri MTM_mar2010.pdf.
Creel, J., Levasseur, S. (2005) Monetary Policy Transmission Mechanisms in the CEECs: How Important are the Differences with the Euro Area?, OFCE Working Paper, No 2, accessed on July 2012 at http://www.ofce.sciences-po.fr/pdf/dtravail/WP2005-02.pdf.
Christiano, L., Eichenbaum, M., Evans, C. (1999) Monetary Policy Shocks: What Have We Learned and To What End? in: TAYLOR, J., WOODFORD, M., eds., Handbook of Macroeconomics North Holland, pp. 65–148., accessed on July 2012 at http://www.nber.org/papers/w6400.
Codirlaşu, A., Chidesciuc, N., A. (2007) Econometrie aplicată utilizând Eviews 5.1., ASE, Bucureşti, accessed on July 2012 at http://www.dofin.ase.ro/acodirlasu/lect/econmsbank/ /econometriemsbank2007.pdf.
Darvas, Z, (2005) Monetary Transmission in the New Members of the EU: Evidence from Time-Varying Coefficient Structural VARs, ECOMOD 2005 conference, accessed on June 2012 at http://www.oenb.at/en/img/feei_2006_1_special_focus_4_tcm16-43659.pdf.
Demchuk, O., Łyziak, T., Przystupa,, J., Sznajderska, A., Wróbel, E. (2012) Monetary policy transmission mechanism in Poland. What do we know in 2011?, Poland National Bank, Working Paper No. 116, accessed on July 2012 at http://www.nbp.pl/publikacje/materialy_i_studia/116_en.pdf.
Elbourne, A., De Haan, J. (2006) Financial Structure and Monetary Policy Transmission in Transition Countries, Journal of Comparative Economics 34, pp. 1–23, accessed on June 2012 at http://www.sciencedirect.com/science/article/pii/S0147596705000880.
Fry, R., Pagan, A. (2005) Some Issues in Using VARs for Macroeconometric Research, CAMA Working Papers, No 19/2005, The Australian National University, accessed on July 2012 at http://cbe.anu.edu.au/research/papers/camawpapers/Papers/2005/Fry_Pagan_182005.pdf.
Gerlach, S., Smets, F. (1995) The Monetary Transmission Mechanism: Evidence From the G-7 Countries, CEPR Discussion Paper No. 1219, accessed on May 2012 at http://www.bis.org/publ/work26.pdf.
Héricourt, J. (2005): Monetary Policy Transmission in the CEECs: Revisited Results Using Alternative Econometrics, University of Paris, accessed on July 2012 at ftp://mse.univ-paris1.fr/pub/mse/cahiers2005/Bla05020.pdf.
Hurník, J., Arnoštová, K. (2005) The Monetary Transmission Mechanism in the Czech Republic: Evidence from VAR Analysis, CNB, Working Paper Series No 4/2005, accessed on June 2012 at http://www.cnb.cz/en/research/research_publications/cnb_wp/2005/cnbwp_2005_04.html.
Jarociński, M. (2010) Reponses to Monetary Policy Shocks in the East and the West of Europe. A Comparison, European Central Bank, Working Paper No 970, accessed on June 2012 at http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp970.pdf.
Leeper, E., Sims, C., Zha, T. (1998) What Does Monetary Policy Do?, Brookings Papers on Economic Activity 2, pp. 1–63, accessed on May 2012 at http://www.benoitmojon.com/pdf/Leeper_sims_zha.pdf.
Lütkepohl, H. (2006) New Introduction to Multiple Time Series Analysis, 2nd ed., New York, Springer, accessed on July 2012 at http://thiqaruni.org/res3/(78).pdf.
Łyziak, T., Przystupa, J., Wróbel, E. (2008) Monetary policy transmission in Poland: a study of the importance of interest rates and credit channels, SUERF Studies, No 1, accessed on July 2012 at http://www.suerf.org/download/studies/study20081.pdf.
Łyziak, T., Przystupa, J., Stanisławska, E., Wróbel, E. (2011) Monetary policy transmission disturbances during the financial crisis. A case of an emerging market economy, Eastern European Economics, No. 49(5), pp. 30-51, accessed on July 2012 at http://www.nbp.pl/badania/konferencje/2011/suerf-nbp/pdf/2011_suerfnbp_ms_e_wrobel.pdf.
Mojon, B., Peersman, G. (2001) A VAR Description of the Effects of Monetary Policy in the Individual Countries of the Euro Area, European Central Bank, Working Paper No 92, accessed on June 2012 at http://www.ecb.de/pub/pdf/scpwps/ecbwp092.pdf.
Morgese, M., B., Horváth, R. (2008) The Effects of Monetary Policy in the Czech Republic: An Empirical Study, CNB, Working Paper Series No 4/2008, accessed on June 2012 at http://www.cnb.cz/en/research/research_publications/cnb_wp/2008/cnbwp_2008_04.html.
Peersman, G., Smets, F. (2001) The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis, European Central Bank, Working Paper No 91, accessed on July 2012 at http://www.ecb.de/pub/pdf/scpwps/ecbwp091.pdf.
Sims, C. (1980) Macroeconomics and Reality, Econometrica 48, pp. 1–48., accessed on June 2012 at http://www.eduardoloria.name/articulos/Sims.pdf.
Sims, C. (1986) Are forecasting models usable for policy analysis?, Quarterly Review, Federal Reserve Bank of Minneapolis, accessed on July 2012 at http://minneapolisfed.org/research/qr/qr1011.pdf.