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Monetary Policy Transmission Mechanism And Tvp-Var Model

Author

Listed:
  • Andreea A. ROSOIU

    (Faculty of Finance, Insurance, Banks and Stock Exchanges, The Academy of Economic Studies, Bucharest)

Abstract

The transmission of monetary policy to the economy is a subject of major importance for central banks because, by using these measures, central banks can achieve their purpose of ensuring price stability without neglecting the objective of sustainable economic growth. In order to analyze the evolution of the monetary policy transmission mechanism in Romania, a time varying structural vector autoregression model is estimated, by using a Markov Chain Monte Carlo algorithm for the posterior evolution. The conclusions of the empirical study are: both systematic and non-systematic monetary policy have changed during the investigated period of time, the systematic response of the interest rate to shocks in inflation and unemployment being faster over the recent period. Also, non-policy shocks seem more important than interest rate shocks in explaining inflation and unemployment evolution.

Suggested Citation

  • Andreea A. ROSOIU, 2013. "Monetary Policy Transmission Mechanism And Tvp-Var Model," Network Intelligence Studies, Romanian Foundation for Business Intelligence, Editorial Department, issue 2, pages 119-126, October.
    • Handle: RePEc:cmj:networ:y:2013:i:2:p:119-126
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    References listed on IDEAS

    as
    1. Jean Boivin & Marc Giannoni, 2002. "Assessing changes in the monetary transmission mechanism: a VAR approach," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 97-111.
    2. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
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    Cited by:

    1. Johannes PS Sheefeni, 2017. "Monetary Policy Transmission Mechanism in Namibia: A Bayesian VAR Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 9(5), pages 169-184.

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    More about this item

    Keywords

    Monetary policy; Transmission mechanism; Time varying structural vector autoregression model; Markov Chain Monte Carlo algorithm; Romania;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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