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Effects of Monetary Policy Shocks in Slovakia

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  • Judita Jurasekova Kucserova

    (Research Department, National Bank of Slovakia)

Abstract

This paper presents the results of empirical investigation into Slovak monetary policy shocks’ impacts on the economy. For estimating purposes, structural VAR based impulse responses of output, prices, exchange rates and short-term interest rates on structural disturbances selected by sign restrictions are studied. In most cases, to improve the quality of monetary policy shock definition, additional identification of historical shocks is provided. As a conclusion, unanticipated 50 basis points increase of the key interest rate lowers prices by up to 0.4% against the baseline. As expected, peak response is reached about one year after the shock at the latest. However, the effect on output is conflicting, suggesting that variations in monetary policy account for little variation in output.

Suggested Citation

  • Judita Jurasekova Kucserova, 2009. "Effects of Monetary Policy Shocks in Slovakia," Working and Discussion Papers DP 1/2009, Research Department, National Bank of Slovakia.
    • Handle: RePEc:svk:wpaper:1005
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    References listed on IDEAS

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    More about this item

    Keywords

    Structural Shocks; Monetary Policy Transmission Mechanism; Sign Restrictions;
    All these keywords.

    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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