The effects of monetary policy in the Czech Republic: an empirical study

0345298 - NHU-C 2011 RIV US eng J - Journal Article
Morgese Borys, Magdalena - Horváth, R. - Franta, Michal
The effects of monetary policy in the Czech Republic: an empirical study.
Empirica. Roč. 36, č. 4 (2009), s. 419-443. ISSN 0340-8744. E-ISSN 1573-6911
Institutional research plan: CEZ:MSM0021620846
Keywords : monetary policy transmission * real-time data * sectoral prices
Subject RIV: AH - Economics

In this paper, we examine the effects of Czech monetary policy on the economy within the vector auto regression (VAR), structural VAR, Bayesian VAR with sign restrictions, and factor-augmented VAR, frameworks. We document a well-functioning transmission mechanism similar to the euro area countries, especially in terms of persistence of monetary policy shocks. Subject to various sensitivity tests, we find that a contractionary monetary policy shock has a negative effect on the degree of economic activity and the price level, both with a peak response after one year or so.
Permanent Link: http://hdl.handle.net/11104/0186607