Since 2014
Financial markets in CEE countries and their role in transmission of euro area monetary policy shocks
European Journal of Business and Economics
View Archive Info| Field | Value | |
| Title |
Financial markets in CEE countries and their role in transmission of euro area monetary policy shocks
|
|
| Creator |
Wierzbowska, Agata; Graduate School of Economics, Kobe University
|
|
| Subject |
Monetary transmission mechanism; International transmission; Financial markets; VAR; Counter-factual simulation
E44, E52, F36 |
|
| Description |
This paper uses the VAR methodology to analyse stock, bond, and exchange rate markets in six Central and Eastern European (CEE) countries. First, we study the influence of shocks occurring in each market on domestic economic conditions. Next, a counterfactual simulation analysis is carried out to discern the role of financial markets in the transmission of European Central Bank (ECB) monetary policy shocks into CEE economies. The results have implications for both present monetary policy-making and future euro adoptions, as well as for investors concerned with financial assets of CEE countries. While examining the estimated responses of domestic output and inflation to changes in stock, bond, and exchange rate prices, we draw conclusions on the relatively lower importance of the bond market and higher importance of stock and exchange rate markets in the economies. The study of transmission channels also points to stock markets as the main channel of transmission, especially in the case of transmission to the output. Transmission of monetary shocks to inflation takes place mainly through stock and exchange rate markets. There is also strong indication on considerable diversity across CEE countries taking place.
|
|
| Publisher |
CBU, o.p.s.
|
|
| Contributor |
The author is grateful to Seiichi Fujita, Krzysztof Krawczyk, Masahiko Shibamoto, and Yoichi Matsubayashi, as well as the participants of the Autumn Conference of Japan Society of Monetary Economics, October 2014, for helpful comments and suggestions.
|
|
| Date |
2015-12-19
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
|
| Format |
application/pdf
|
|
| Identifier |
http://ojs.journals.cz/index.php/EJBE/article/view/732
10.12955/ejbe.v10i2.732 |
|
| Source |
European Journal of Business and Economics; Vol 10, No 2 (2015)
1804-9699 10.12955/ejbe.v10i2 |
|
| Language |
eng
|
|
| Relation |
http://ojs.journals.cz/index.php/EJBE/article/view/732/675
|
|
| Rights |
Copyright (c) 2016 Agata Wierzbowska
https://creativecommons.org/licenses/by/3.0/ |
|