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Theoretical and Applied Economics
No. 2 / 2014 (591)

Global financial crisis-driven mutations affecting the transmission mechanism customized to monetary policy strategies. A VAR, SVAR and BVAR approach

Iulian Vasile POPESCU
“Alexandru Ioan Cuza”, University of Iaşi

Abstract. This paper analyzes the transmission mechanisms of monetary policy in the Central and Eastern European (CEE) countries on the road to euro adoption depending on the monetary policy strategies used by the national central banks (CBs). The scientific construction of the paper is based on three methods: vector autoregressive (VAR), structural vector autoregressive (SVAR) and Bayesian techniques-estimated vector autoregressive (BVAR). The main results have indicated: 1) lack of similarity of the transmission mechanism, a high degree of heterogeneity in the transmission of monetary policy impulses indicated in all three cases subject to analysis: speed, persistence and amplitude, 2) an increase in the speed of monetary policy shocks transmission, a decrease in the amplitude of monetary policy shock impact and a reduction (or the maintaining at a similar level) of the persistence of monetary policy shock effects subsequent to the global financial crisis, regardless of the monetary policy strategy used.

Keywords: monetary policy; transmission mechanism; autoregressive vector; impulse response functions; Central and Eastern Europe.

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