The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR

Research, Preprint OPEN
Arratibel, Olga ; Michaelis, Henrike (2014)
  • Publisher: Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät München
  • Related identifiers: doi: 10.5282/ubm/epub.21088
  • Subject: C30 | Bayesian time-varying parameter VAR | F41 | E52 | Munich Discussion Papers in Economics | E44 | monetary policy transmission | Bayesian time-varying parameter VAR, exchange rate pass-through, monetary policy transmission | exchange rate pass-through | Bayesian time-varying parameter VAR; monetary policy transmission; exchange rate passthrough | Volkswirtschaft | exchange rate passthrough
    • jel: jel:F41 | jel:E52 | jel:E44 | jel:C30
      ddc: ddc:330

This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to analyse whether the reaction of output and prices to interest rate and exchange rate shocks has changed across time (1996-2012) in the Polish economy. ... View more
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