Evaluating changes in the monetary transmission mechanism in the Czech Republic

被引：26
|
作者：
Franta, Michal [1 ]
Horvath, Roman [2 ,3 ]
Rusnak, Marek [1 ,2 ]
机构：
[1] Czech Natl Bank, Prague 11503 1, Czech Republic
[2] Charles Univ Prague, Inst Econ Studies, Prague 11000 1, Czech Republic
[3] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague 8, Czech Republic
来源：
EMPIRICAL ECONOMICS | 2014年 / 46卷 / 03期
关键词：
Monetary policy transmission; Sign restrictions; Time-varying parameters; STRUCTURAL VECTOR AUTOREGRESSIONS; EXCHANGE-RATE; POLICY; INFLATION; IDENTIFICATION; DYNAMICS; SHOCKS; OUTPUT;
D O I：
10.1007/s00181-013-0699-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the course of the 1996-2010 time period through the use of a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks has changed over time, focusing on the period of the recent financial crisis. Our results suggest that prices have become increasingly responsive to monetary policy shocks. However, in terms of credible intervals, the stability of the monetary policy transmission mechanism in the Czech Republic cannot be rejected. Furthermore, it is demonstrated that the exchange rate pass-through has largely remained stable over time.
引用
收藏
页码：827 / 842
页数：16
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