The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR
- Publisher: Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät München
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
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. ...