Mirdala, Rajmund (2009): Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach).
Download (226kB) | Preview
The stable macroeconomic environment, as one of the primary objectives of the Visegrad countries in the 1990s, was partially supported by the exchange rate policy. Fixed exchange rate systems within gradually widen bands (Czech republic, Slovak republic) and crawling peg system (Hungary, Poland) were replaced by the managed floating in the Czech republic (May 1997), Poland (April 2000), Slovak republic (October 1998) and fixed exchange rate to euro with broad band in Hungary (October 2001). Higher macroeconomic and banking sector stability allowed countries from the Visegrad group to implement the monetary policy strategy based on the interest rate transmission mechanism. Continuous harmonization of the monetary policy framework (with the monetary policy of the ECB) and the increasing sensitivity of the economy agents to the interest rates changes allowed the central banks from the Visegrad countries to implement monetary policy strategy based on the key interest rates determination. In the paper we analyze the impact of the central banks’ monetary policy in the Visegrad countries on the selected macroeconomic variables in the period 1999-2008 implementing SVAR (structural vector autoregression) approach. We expect that the higher sensitivity of the selected macroeconomic indicators of the EMÚ candidate countries to the national monetary policy shocks would indicate the higher exposure of the selected countries to the ECB monetary policy impulses after the euro adoption in the future.
|Item Type:||MPRA Paper|
|Original Title:||Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach)|
|Keywords:||monetary policy, short-term interest rates, structural vector autoregression, variance decomposition, impulse-response function|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Rajmund Mirdala|
|Date Deposited:||14. Mar 2009 09:49|
|Last Modified:||12. Feb 2013 23:50|
 Bank for International Settlements: BIS Effective Exchange Rate Indices - http://www.bis.org/statistics/eer/index.htm
 BAYOUMI, T. - EICHENGREEN, B. (1992) “Shocking Aspects of European Monetary Unification”, [NBER Working Paper, no. 3949.] Cambridge, National Bureau of Economic Research.
 CLARIDA, R. - GALI, J. (1994) “Sources of Real Exchange Rate Fluctuations: How Important Are Nominal Shocks?” Carnegie-Rochester Conference Series on Public Policy, 41, pp. 1-56.
 FUJIWARA, I. (2003): “Has a Effect of a Monetary Policy Changed During 1990s?”, Osaka University, Discussion Paper no. 8.
 GERLACH, S. - SMETS, F. (1995) “The Monetary Policy Transmission Mechanism: Evidence from the G-7 Countries”, Bank for International Settlements, Working Paper no. 26.
 GONDA, V. (2006) “European Monetary Union in the Context of Global Processes in World Economy”, Journal of Economics (Ekonomický časopis), vol. 54, no. 4 (2006), pp. 352-367.
 HERRMANN, S. - JOCHEM, A. (2003) “Real and Nominal Convergence in the Central and East European Countries”, Intereconomics, vol. 38, no. 6, pp. 323-327.
 HUFNER, F. P. - SCHRODER, M. (2002) “Exchange Rate Pass-through to Consumer Prices: A European Perspective”, [Discussion Paper, no. 02-20.] Mannheim, Centre for European Economic Research.
 IŠA, J. - OKÁLI, I. (2008) “European Monetary Union, Optimum Currency Area and Possible Effects of the Slovakia’s Joining the Euro Area”, Politická ekonomie, vol. 56, no. 3, pp. 318-344.
 LISÝ, J. - MUCHOVÁ, E. (2004) “Formation and Behaviour of Economic and Monetary Union as an Open Theoretical Issue (in Slovak)”, Journal of Economics (Ekonomický časopis), vol. 52, no. 4, pp. 429-448.
 MIRDALA, R. (2008) “Exchange Rate and Output Vulnerability to Macroeconomic Shocks in Selected CEECs (SVAR approach)”, Journal of Economics (Ekonomický časopis), vol. 56, no. 8, pp. 745-763.
 OECD - Statistics v4.4 - Frequently Requested Statistics -http://www.oecd.org/document/15/0,3343,en_2649_201185_1873295_1_1_1_1,00.html
 SOUSA, J. M. - ZAGHINI, A. (2006) “Global Monetary Policy Shocks in the G5: A SVAR Approach”, Centre for Financial Studies, Working Paper no. 30.
 STAVÁREK, D. (2008) “Exchange Market Pressures in the Central European Countries from the Eurozone Membership Perspective”, South East European Journal of Economics and Business, vol. 2, no. 3, pp. 7-18.
 STAZKA, A. (2006) “Sources of Real Exchange Rate Fluctuation in Central and Eastern Europe”, [CESifo Working Paper, no. 1876.] Munich, CESifo GmbH.
 ŠIKULOVÁ, I. (2009) “Experience of the Selected Eurozone Member Countries and Posture of the potential member countries to Euro Adoption”, Institute of the Economic Research, Working Paper no. 15.
 ŠINDEL, J. - SAROCH, S. (2008) “The Political Economy of Exchange Rate Policy in Central and Eastern European Countries - Sector Approach”, Politická ekonomie, vol. 56, no. 1, pp. 17-39.
Available Versions of this Item
- Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach). (deposited 14. Mar 2009 09:49) [Currently Displayed]