The Impact of Monetary Policy and Exchange Rate Shocks in Poland: Evidence from a Time-Varying VAR

Research, Preprint OPEN
Arratibel, Olga; Michaelis, Henrike;
  • Publisher: München: Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
  • Related identifiers: doi: 10.5282/ubm/epub.21088
  • Subject: C30 | Bayesian time-varying parameter VAR | F41 | Munich Discussion Papers in Economics | E52 | 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
  • References (17)
    17 references, page 1 of 2

    An, L. and Wang, J. (2011). Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions. Open Economies Review, pages 1{22.

    Artis, M. and Ehrmann, M. (2006). The Exchange Rate - A Shock-Absorber or Source of Shocks? A Study of four open Economies. Journal of International Money and Finance, 25(6):874{893.

    Baumeister, C., Durinck, E., and Peersman, G. (2008). Liquidity, In ation and Asset Prices in a Time-Varying Framework for the Euro Area. Available at SSRN 1290842.

    Baumeister, C. and Peersman, G. (2008). Time-Varying E ects of Oil Supply Shocks on the US Economy. Manuscript, Ghent University.

    Benati, L. and Mumtaz, H. (2005). The Great Stability in the UK: Good Policy or Good Luck? manuscript, Research Department, Bank of England.

    Bernanke, B., Boivin, J., and Eliasz, P. (2005). Measuring the E ects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1):387{422.

    Bitans, M. (2004). Pass-Through of Exchange Rates to Domestic Prices in East European Countries and the Role of Economic Enviroment. Technical report.

    Canova, F. (2007). Methods for Applied Macroeconomic Research, volume 13. Princeton University Press.

    Canova, F. and Ciccarelli, M. (2009). Estimating Multicountry VAR Models. International Economic Review, 50(3):929{959.

    Canova, F. and de Nicolo, G. (2002). Monetary Disturbances Matter for Business Fluctuations in the G-7. Journal of Monetary Economics, 49(6):1131{1159.

  • Related Organizations (3)
  • Bioentities (1)
    3the Protein Data Bank
  • Metrics
Share - Bookmark