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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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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 statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

156-161

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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