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Using the vector autoregressive methodology, we present estimates of monetary transmission for five new EU member countries in Central and Eastern Europe with more or less flexible exchange rates. We select sample periods to estimate over the longest possible period that can be considered as a single monetary policy regime. To identify the vector autoregression (VAR), structural restrictions and the widely used Cholesky ordering are employed. We conclude that the structural VAR yields much better results. Fewer countries suffer from a price puzzle (i.e., an increase in prices following a monetary contraction). Our results also indicate that there are substantial differences in monetary transmission across the countries in our sample.

We investigate the role of credit supply shocks in the Netherlands in a structural VAR framework following the identification scheme proposed by Barnett and Thomas (2013). We find evidence that positive credit supply shocks boosted growth before 2007 before adverse credit supply shocks depressed GDP growth between 2008 and early 2012. From late 2012 onwards, credit supply shocks were not important factors behind the sluggish GDP growth in the Netherlands. When looking at which components of GDP are most affected by credit supply shocks, we find evidence that investment is hit considerably harder than consumption, although it recovers more quickly.

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