Non-Linear Monetary Policy Modelling with Government Debt as a Threshold: The Case of the Czech Republic
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10238733" target="_blank" >RIV/61989100:27510/18:10238733 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Non-Linear Monetary Policy Modelling with Government Debt as a Threshold: The Case of the Czech Republic
Original language description
In this paper, we examine the extent to which could be monetary policy constrained by the evolution of government indebtedness. We employ a threshold vector autoregression (TVAR) model the capture the possible asymmetries in the relationship between monetary policy and real economy, corresponding to a switch between low/high growth of government debt-to-GDP ratio. The analysis is carried on Czech data over the 2001-2016 period. Results show that the reaction of a central bank to macroeconomic shocks can be regime-dependent. We find that a rising government debt could constrain monetary policy which effectively works through an altered monetary policy trans-mission to real economy. Overall, our study demonstrates the advantages of using a nonlinear approach to study the fiscal and monetary policy interactions.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Ekonomický časopis
ISSN
0013-3035
e-ISSN
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Volume of the periodical
66
Issue of the periodical within the volume
6
Country of publishing house
SK - SLOVAKIA
Number of pages
19
Pages from-to
561-579
UT code for WoS article
000439020500002
EID of the result in the Scopus database
2-s2.0-85053676335