External Information and Monetary Policy Transmission in New EU Member States : Results from FAVAR Models

Balabanova, Zlatina; Brüggemann, Ralf

External Information and Monetary Policy Transmission in New EU Member States : Results from FAVAR Models

Dateien

Balabanova-Brueggemann_WP_5-12.pdfGröße: 1.04 MBDownloads: 286

Datum

2012

Projekt

Forecasting and Structural Analysis with Contemporaneous Aggregates of Time Series Data

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Factor-augmented VARs, impulse-response analysis, monetary policy shocks, central and eastern European countries, European monetary union

Zitieren

ISO 690

BALABANOVA, Zlatina, Ralf BRÜGGEMANN, 2012. External Information and Monetary Policy Transmission in New EU Member States : Results from FAVAR Models

BibTex

@techreport{Balabanova2012Exter-19865,
  year={2012},
  series={Working Paper Series / Department of Economics},
  title={External Information and Monetary Policy Transmission in New EU Member States : Results from FAVAR Models},
  number={2012-05},
  author={Balabanova, Zlatina and Brüggemann, Ralf}
}

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Universitätsbibliographie

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