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Description
  • We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the course of the 1996-2010 time period through the use of a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks has changed over time, focusing on the period of the recent financial crisis. Our results suggest that prices have become increasingly responsive to monetary policy shocks. However, in terms of credible intervals, the stability of the monetary policy transmission mechanism in the Czech Republic cannot be rejected. Furthermore, it is demonstrated that the exchange rate pass-through has largely remained stable over time.
  • We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the course of the 1996-2010 time period through the use of a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks has changed over time, focusing on the period of the recent financial crisis. Our results suggest that prices have become increasingly responsive to monetary policy shocks. However, in terms of credible intervals, the stability of the monetary policy transmission mechanism in the Czech Republic cannot be rejected. Furthermore, it is demonstrated that the exchange rate pass-through has largely remained stable over time. (en)
Title
  • Evaluating changes in the monetary transmission mechanism in the Czech Republic
  • Evaluating changes in the monetary transmission mechanism in the Czech Republic (en)
skos:prefLabel
  • Evaluating changes in the monetary transmission mechanism in the Czech Republic
  • Evaluating changes in the monetary transmission mechanism in the Czech Republic (en)
skos:notation
  • RIV/00216208:11230/14:10281690!RIV15-MSM-11230___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
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http://linked.open...iv/cisloPeriodika
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http://linked.open...aciTvurceVysledku
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http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 15281
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11230/14:10281690
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Time-varying parameters; Sign restrictions; Monetary policy transmission (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • AT - Rakouská republika
http://linked.open...ontrolniKodProRIV
  • [A5FA3C3EB6BF]
http://linked.open...i/riv/nazevZdroje
  • Empirical Economics
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http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 46
http://linked.open...iv/tvurceVysledku
  • Horváth, Roman
  • Rusnák, Marek
  • Franta, Michal
http://linked.open...ain/vavai/riv/wos
  • 000334185400002
issn
  • 0377-7332
number of pages
http://bibframe.org/vocab/doi
  • 10.1007/s00181-013-0699-0
http://localhost/t...ganizacniJednotka
  • 11230
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