Asymmetries in Effects of Monetary Policy and their Link to Labour Market - Application of TVP-VARs to Three European Countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F14%3A00223644" target="_blank" >RIV/62156489:43110/14:00223644 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Asymmetries in Effects of Monetary Policy and their Link to Labour Market - Application of TVP-VARs to Three European Countries
Original language description
The aim of this paper is to investigate asymmetries in effects of monetary policy and their link to labour market. For this purpose we employ Time-Varying Parameter VAR model with stochastic volatility that is able to capture possible changes in transmission mechanism and in underlying structure of economy over time. Markov chain Monte Carlo method is used for estimation. For detection of monetary policy effects we include three variables to the models: interest rate, inflation and unemployment. The Czech Republic, Germany and Slovakia are selected for the analysis. Main economic theory believes that wage rigidities are significant factor inflicting output gap. Therefore, we investigate how different responses to monetary policy operations over time are linked with changes in labour costs in observed countries. We are interested mainly in their connection with the current crisis. Our results prove asymmetric transmission over time and over countries. Significant increase of stochastic
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
156-161
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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