On the evolution of the monetary policy transmission mechanism

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W.

doi:10.1016/j.jedc.2008.11.003

Cited by 218 publications

(229 citation statements)

References 30 publications

(58 reference statements)

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“…It has long been recognized that the structure and functioning of the economy changes over time, and so there is a need to account for that evolution in the estimation procedure as well (Koop et al, 2009). Two main approaches to modeling changes in the transmission mechanism have appeared in applied work.…”

Section: Time-varying Varsmentioning

confidence: 99%

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Evaluating changes in the monetary transmission mechanism in the Czech Republic

2013

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the 1996-2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks changes over time, with a focus on the period of the recent financial crisis. Furthermore, we augment the estimated system with a lending rate and credit growth to shed light on the relative importance of financial shocks for the macroeconomic environment. Our results suggest that output and prices have become increasingly responsive to monetary policy shocks, probably reflecting financial sector deepening, more persistent monetary policy shocks, and overall economic development associated with disinflation. On the other hand, exchange rate pass-through has weakened somewhat over time, suggesting improved credibility of inflation targeting in the Czech Republic with anchored inflation expectations. We find that credit shocks had a more sizeable impact on output and prices during the period of bank restructuring with difficult access to credit. In general, our results show that financial shocks are less important for the aggregate economy in an environment of a stable financial system. Terms of use: Documents in

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Section: Time-varying Varsmentioning

confidence: 99%

“…However, the date on which the sample should be split is often not clear. Importantly, it is more likely that the economy is changing gradually as opposed to undergoing sudden abrupt changes (Koop et al, 2009). As a result, a second vein of literature typically makes less restrictive assumptions about the behavior of the economy.…”

Section: Time-varying Varsmentioning

confidence: 99%

Evaluating changes in the monetary transmission mechanism in the Czech Republic

2013

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“…Since the TVP-VAR has a larger number of parameters than the conventional VAR and our sample size is small, we estimate the model using the Bayesian method. We use uninformative priors for estimation and follow Primiceri (2005), Koop et al (2009) and Korobilis (2013) to use a training sample (the first 40 observations) to calibrate the key prior hyperparameters. The posterior distribution is simulated using Gibbs sampling.…”

Section: Methodsmentioning

confidence: 99%

Effects of oil shocks on EMU exports: technological level differences

Hodula

Vahalík

2017

Review of Economic Perspectives

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This article provides some new empirical perspectives on the relationship between oil-market fluctuations and technological structure of EMU export. We rely on a time-varying parameter VAR model to capture the reaction of different technological structures of EMU export to various oil-market innovations in the period 2002-2015. Our results can be summarized as follows: (1) increase in crude oil production is likely to reduce oil prices and therefore increases all EMU exports due to lower production and transportation costs; (2) increase in global demand is more likely to be transmitted to goods with higher added value; (3) high-tech exports decrease in the first months after the global demand shock as a result of a delayed investment decision process; (4) increasing oil prices yield only marginal effect on EMU export.

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“…Such a model specification represents a minimal setting similar to those adopted by Stock and Watson (2001) -for illustrative purposes -and by more recent contributions such as Primiceri (2005) and Koop et al (2009). The addition of a commodity price proves helpful in ruling out the price puzzle.…”

Section: Datamentioning

confidence: 99%

Identification of monetary policy in SVAR models: a data-oriented perspective

Fragetta

Melina

2012

Empir Econ

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This is the unspecified version of the paper.This version of the publication may differ from the final published version. Permanent AbstractIn the literature using short-run timing restrictions to identify monetary policy shocks in vector-autoregressions (VAR) there is a debate on whether (i) contemporaneous real activity and prices or (ii) only data typically observed with high frequency should be assumed to be in the information set of the central bank when the interest rate decision is taken. This paper applies graphical modelling theory, a data-based tool, in a small-scale VAR of the US economy to shed light on this issue. Results corroborate the second type of assumption.

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On the evolution of the monetary policy transmission mechanism

Cited by 218 publications

References 30 publications

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Effects of oil shocks on EMU exports: technological level differences

Identification of monetary policy in SVAR models: a data-oriented perspective

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