The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 1
Abstract
In this paper we estimate the monetary policy reaction function of the National Bank of Slovakia and the possible impact of an independent monetary policy on the Slovak economy in 2009 and 2010, when the global economic recession had the strongest impact on Slovakia. We estimate a small macroeconomic VEC model using a modified version of a Bayesian estimation technique developed for models using data observed with different frequencies with core inflation, the exchange rate, the real growth rate of GDP, the balance of trade and the interbank interest rate as endogenous domestic variables. Based on counterfactual simulations, we show that while an independent monetary policy would not be able to mitigate the drop in GDP in the first half of 2009, the recovery phase would have been positively affected.
Authors and Affiliations
Jan Klasco
Keywords
Related Articles
- EP ID EP297494
- DOI -
- Views 122
- Downloads 0
A Duration Dependent Rating Migration Model: Real Data Application and Cost of Capital Estimation
This paper presents a duration dependent model for analyzing the evolution of credit ratings. It considers the backward recurrence process to tackle the time of permanence problem in the rating classes. In this way it is...
Monetary and Fiscal Policy Interaction with Various Degrees of Commitment
Well before the global financial crisis, the long-term trend in fiscal policy had raised concerns about risks for the outcomes of monetary policy. Are fears of an unpleasant monetarist arithmetic justified? To provide so...
Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility
We analyze the risk-return characteristics of nine European emerging stock market indices over the period from January 2000 to December 2013. We show that (i) the return distances declined and structural breaks in this c...
Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries
We evaluate the ability of several univariate models to predict inflation in the US and in a number of inflation targeting countries at different forecasting horizons. We focus on forecasts coming from a family of ten se...
Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
This paper investigates the differences between parameter estimates of monetary policy reaction functions using real-time data and those using revised data. The model is a New Keynesian DSGE model of the Czech, Hungarian...