Evaluating changes in the monetary transmission mechanism in the Czech Republic

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10281690" target="_blank" >RIV/00216208:11230/14:10281690 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/14:00449955

Result on the web

<a href="http://dx.doi.org/10.1007/s00181-013-0699-0" target="_blank" >http://dx.doi.org/10.1007/s00181-013-0699-0</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00181-013-0699-0" target="_blank" >10.1007/s00181-013-0699-0</a>

Result language

angličtina

Original language name

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Original language description

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. Weevaluate 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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: New Approaches to Monitoring and Forecasting Financial Markets</a><br>

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Empirical Economics

ISSN

0377-7332

e-ISSN

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Volume of the periodical

46

Issue of the periodical within the volume

3

Country of publishing house

AT - AUSTRIA

Number of pages

16

Pages from-to

827-842

UT code for WoS article

000334185400002

EID of the result in the Scopus database

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