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A monetáris restrikció hatása strukturális VAR keretben
[The effect of monetary restriction in a vector auto-regression framework]

Author

Listed:
  • Ábel, István
  • Kóbor, Ádám

Abstract

Egy egyszerű, jól ismert és több országra sikerrel alkalmazott strukturális vektor-autoregressziós (SVAR) modellt becsültünk magyar adatokkal, amelyek válság előtti és a válságot is magában foglaló időszakokat egyaránt tartalmaztak. Az árfolyam monetáris restrikcióra (kamatemelésre) adott válaszának empirikus jellemzőit kerestük. A válság előtti és alatti időszak együttes vizsgálata alapján azt tapasztaltuk, hogy a monetáris politika árfolyamra gyakorolt hatása a hagyományos elméletnek megfelelő tendenciát mutat. A számítások nem cáfolták meg a makroökonómia stilizált modelljét. Az árfolyam-alakulás számtalan korábbi vizsgálata jó néhány anomáliát, az elmélet alapján várhatótól eltérő jellemzőt tárt fel. Figyelmünket a monetáris sokkoknak az árfolyamra gyakorolt hatására fordítva, azt tapasztaltuk, hogy a vizsgált keretben ilyen anomália tartósan nem érvényesül. Ez azzal magyarázható, hogy a modell a monetáris sokkra adott választ nem egyetlen pillanatra szűkítve, hanem lefutásában érzékelteti. A strukturális vektor-autoregressziós modell bármennyire leegyszerűsítő is, érzékelteti, hogy az elméletben feltárt hatások nem feltétlenül azonnaliak, hanem a valóságban időben elhúzódhatnak, a többi változóval való kölcsönhatásban alakulhatnak.* Journal of Economic Literature (JEL) kód: E52, C32, C53.

Suggested Citation

  • Ábel, István & Kóbor, Ádám, 2010. "A monetáris restrikció hatása strukturális VAR keretben [The effect of monetary restriction in a vector auto-regression framework]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 412-430.
    • Handle: RePEc:ksa:szemle:1167
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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