About: Explaining the strength and the efficiency of monetary policy transmission: a panel of impulse responses from a time-varying parameter model

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Description	This paper analyzes both the cross-sectional and time variation in aggregate monetary policy transmission from nominal short term interest rates to price level. Using Bayesian TVP-VARs where the structural interest rate shocks are identified by sign restrictions, we show that monetary policy transmission became stronger over the last decades. This applies both to developed and emerging economies. Monetary policy sacrifice ratios gradually decreased from their peak in the 1980's. Exploring the cross-country and time variation in panel regressions, we show that when a country adopted inflation targeting regime, monetary transmission became stronger and sacrifice ratios decreased. In periods of banking crises, the transmission from monetary policy interest rate shocks to prices is weaker and the related costs in output are higher. Further, countries with higher domestic credit to GDP have stronger transmission while countries with higher foreign debt seem to be less influenced by domestic monetary policy. This paper analyzes both the cross-sectional and time variation in aggregate monetary policy transmission from nominal short term interest rates to price level. Using Bayesian TVP-VARs where the structural interest rate shocks are identified by sign restrictions, we show that monetary policy transmission became stronger over the last decades. This applies both to developed and emerging economies. Monetary policy sacrifice ratios gradually decreased from their peak in the 1980's. Exploring the cross-country and time variation in panel regressions, we show that when a country adopted inflation targeting regime, monetary transmission became stronger and sacrifice ratios decreased. In periods of banking crises, the transmission from monetary policy interest rate shocks to prices is weaker and the related costs in output are higher. Further, countries with higher domestic credit to GDP have stronger transmission while countries with higher foreign debt seem to be less influenced by domestic monetary policy. (en)
Title	Explaining the strength and the efficiency of monetary policy transmission: a panel of impulse responses from a time-varying parameter model Explaining the strength and the efficiency of monetary policy transmission: a panel of impulse responses from a time-varying parameter model (en)
skos:prefLabel	Explaining the strength and the efficiency of monetary policy transmission: a panel of impulse responses from a time-varying parameter model Explaining the strength and the efficiency of monetary policy transmission: a panel of impulse responses from a time-varying parameter model (en)
skos:notation	RIV/00216208:11640/13:00421418!RIV14-MSM-11640___
http://linked.open...avai/predkladatel	Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...avai/riv/aktivita	I S
http://linked.open...avai/riv/aktivity	I, S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Matějů, Jakub
http://linked.open.../riv/druhVysledku	O - Ostatní výsledky nezařaditelné do žádného z výše uvedených druhů výsledku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...dnocenehoVysledku	74282
http://linked.open...ai/riv/idVysledku	RIV/00216208:11640/13:00421418
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	monetary policy transmission; TVP-VAR; sign-restrictions (en)
http://linked.open.../riv/klicoveSlovo	TVP-VAR monetary policy transmission sign-restrictions
http://linked.open...ontrolniKodProRIV	[C017C617CF0B]
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Matějů, Jakub
http://localhost/t...ganizacniJednotka	11640

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