Non-Linear Monetary Policy Modelling with Government Debt as a Threshold: The Case of the Czech Republic

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Non-Linear Monetary Policy Modelling with Government Debt as a Threshold: The Case of the Czech Republic

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Non-Linear Monetary Policy Modelling with Government Debt as a Threshold: The Case of the Czech Republic

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Ekonomický časopis

ISSN

0013-3035

e-ISSN

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Svazek periodika

66

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

SK - Slovenská republika

Počet stran výsledku

19

Strana od-do

561-579

Kód UT WoS článku

000439020500002

EID výsledku v databázi Scopus

2-s2.0-85053676335