Evaluating changes in the monetary transmission mechanism in the Czech Republic

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/14:00449955

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Empirical Economics

ISSN

0377-7332

e-ISSN

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Svazek periodika

46

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

AT - Rakouská republika

Počet stran výsledku

16

Strana od-do

827-842

Kód UT WoS článku

000334185400002

EID výsledku v databázi Scopus

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