A Data Science Central Community
The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary:
Evidence from a FAVAR Model
Konstantins Benkovskis,
Andrejs Bessonovs,
Martin Feldkircher,
Julia Wörz
We analyze the effects of euro area monetary policy on three Central and Eastern European non-euro area EU countries: the Czech Republic, Poland and Hungary. We employ an open economy version of the factor-augmented vector autoregression model (FAVAR) to estimate the cross-border effects of a contractionary monetary policy of the ECB. We find significant and sizeable effects of euro area monetary policy in these small and highly open economies,
with economic activity variables being primarily affected through the impact of increased interest rates and reduced foreign demand – thus leading to a contraction of GDP – and exchange rate effects being important for price reactions.
http://www.oenb.at/de/img/feei_2011_q3_studies_01_tcm14-237365.pdf
© 2021 TechTarget, Inc.
Powered by
Badges | Report an Issue | Privacy Policy | Terms of Service
Most Popular Content on DSC
To not miss this type of content in the future, subscribe to our newsletter.
Other popular resources
Archives: 2008-2014 | 2015-2016 | 2017-2019 | Book 1 | Book 2 | More
Most popular articles
You need to be a member of AnalyticBridge to add comments!
Join AnalyticBridge