Institute of Information Theory and Automation

Publication details

Evaluating changes in the monetary transmission mechanism in the Czech Republic

Journal Article

Franta M., Horváth Roman, Rusnák M.


serial: Empirical Economics vol.46, 3 (2014), p. 827-842

project(s): GA402/09/0965, GA ČR

keywords: monetary transmission, Sign restrictions, Time-varying parameters

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abstract (eng):

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.

RIV: AH

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Last modification: 21.12.2012
Institute of Information Theory and Automation