EXTERNAL INFORMATION AND MONETARY POLICY TRANSMISSION IN NEW EU MEMBER STATES: RESULTS FROM FAVAR MODELS
| Autor: | Ralf Brüggemann, Zlatina Balabanova |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Macroeconomics
Economics and Econometrics jel:C32 C50 E52 C38 Member states jel:C50 05 social sciences Monetary policy jel:C32 jel:E52 jel:C38 Monetary policy transmission 0502 economics and business ddc:330 Economics media_common.cataloged_instance 050207 economics European union European monetary union GeneralLiterature_REFERENCE(e.g. dictionaries encyclopedias glossaries) Factor-Augmented VARs Impulse-Response analysis Monetary Policy Shocks Central and Eastern European Countries European Monetary Union Impulse response 050205 econometrics media_common |
| Zdroj: | Macroeconomic Dynamics. 21:311-335 |
| ISSN: | 1469-8056 1365-1005 |
| DOI: | 10.1017/s1365100515000516 |
| Popis: | We investigate the e_ects of monetary policy shocks in the new European Union member states Czech Republic, Hungary, Poland and Slovakia. In contrast to existing studies, we explicitly account for external developments in European Monetary Union (EMU) countries and in other acceding countries. We do so by using factor-augmented vector-autoregressive models that employ the information from non-stationary factor time series. One set of VAR models includes factors obtained from a large cross-section of time series from EMU countries, while another set includes factors obtained from other acceding countries. We use cohesion analysis to facilitate the interpretation of the different factor time series. We find that including the EMU factors does not greatly affect the impulse response patterns in acceding countries. In contrast, including factors from other accession countries leads to substantial changes in impulse responses and to economically more plausible results. Overall, our analysis highlights that taking into account external economic developments properly is crucial for the analysis of monetary policy in the new EU member states. |
| Databáze: | OpenAIRE |
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