A Cross-Country Analysis of Monetary Policy Effects on Prices
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 5
Abstract
What determines the size of monetary policy effects on prices? This is one of the crucial questions for the efficient conduct of monetary policy. Therefore, this study investigates this issue by exploring variations in the responsiveness of prices to a monetary policy shock across 46 developed and developing countries. We first use a structural vector autoregression model to estimate monetary policy effects for each country separately. The estimated effects are thereafter treated as the dependent variable in a cross-country regression. The results suggest that the size of the short-run effect of a monetary policy shock on prices is significantly larger in countries with higher trade openness, a more flexible exchange rate, and a larger and more developed banking sector, while the effect is smaller in countries with the English legal origin.
Authors and Affiliations
Bruno Corcic, Lena Malesevic Perovic, Vladimir Simic
Keywords
Related Articles
- EP ID EP297535
- DOI -
- Views 126
- Downloads 0
Forecasting with a Random Walk
The use of different time-series models to generate forecasts is fairly usual in the fields of macroeconomics and financial economics. When the target variable is stationary, the use of processes with unit roots may seem...
Real and Financial Sector Studies in Central and Eastern Europe: A Review
This survey focuses broadly on real and financial sector studies in former transition economies of Central and Eastern Europe. The survey shows that in the real sector there has been considerable trade and global integra...
Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes
The study provides new and robust evidence to the relationship between stock and food markets in terms of shock and volatility spillovers and dependence structure by focusing on the importance of taking into account stru...
International Dependence and Contagion across Asset Classes: The Case of Poland
We investigate the linkages between international financial markets and Poland, including stocks, bonds and foreign exchange. We work in a static copula framework, allow for asymmetry of tail behavior and use tail depend...
Corporate Governance Quality and a Firm’s Adaptation to Competitive Threats
This paper shows that regulatory improvements of corporate governance quality mandated by the Sarbanes-Oxley Act (SOX) are associated with a better ability of firms to adapt to product-market competitive threats. We cont...