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The analysis of monetary policy effects with emphasis on monetary policy strategy types. A VAR approach

Author(s): Popescu Iulian Vasile

Journal: The Romanian Economic Journal
ISSN 1454-4296

Volume: XVI;
Issue: 47;
Start page: 57;
Date: 2013;
Original page

Keywords: monetary transmission mechanism | vector autoregressions | Cholesky decomposition | impulse response function | CEECs

This paper proposes an empirical analysis of monetary policy shocks effects on the real economic aggregates and prices with the help of vector autoregressive (VAR) in the context of Central and Eastern European countries. Model specification is different for each type of monetary policy strategies applied by central banks in the region with the scope of best capturing a series of CEE states distinctive features. Our main results identify a relatively high degree of heterogeneity between the transmission of an unexpected contractionary monetary policy shock (in terms of speed, amplitude and impact persistence) under different monetary policy strategies, which could create major problems for the proper functioning of a monetary union.
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