It is important to identify the effects of stock prices on financial and macroeconomic variables when the development of capital markets is concerned. In this study, AB type-SVAR models are employed, whereupon impulse response functions (IRFs) and forecast error variance decompositions (FEVDs)...

In this paper I use a medium scale open economy DSGE model developed by Baksa, Benk and Jakab (2010) for the Hungarian economy. This model provides a notable degree of disaggregation both on the government revenue and expenditure side, being able to capture the shocks that come from fiscal...

This paper analyses in a VAR framework with debt feedback effects of fiscal policy over 1999q1-2013q4 in five Central and East European economies: Slovakia, Czech republic, Hungary, Slovenia and Lithuania. The results are compared to two alternative specifications, a model without debt feedback,...

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...

For the purpose of monetary policy analyses dynamic multivariate models are usually applied. The reason is the presence of significant lags between an action and the appropriate effects in the economy. We use the concept of structural VAR models, widely used approach next to the DSGE and...

In this paper we provide evidence of the impact of monetary policy on a broad range of macro-economic variables for U.S, Canada, U.K., and Japan using factor-augmented vector auto regressive (FAVAR) model developed by Bernanke, Boivin and Eliasz (2003). Traditional approaches, such as vector...

Amongst the South Pacific's least developed small island countries, Samoa has emerged as a successful economy. Its achievements of low inflation and high growth rates have been due to sustained fiscal adjustment programmes and appropriate monetary policy measures. This paper undertakes an...

Applying the VAR model and using the interest rate as a monetary policy variable, we find that in the long run, output in China responds negatively to a shock to the interest rate, the real exchange rate, government debt, or the inflation rate, and it reacts positively to a shock to government...

This paper looks at the responses of bank loan components to a monetary tightening and compares the responses to those observed to output shocks. We find the results to be consistent with both a bank lending channel and a balance sheet channel for consumer loans. In contrast, wee find that C&I...

Amongst the South Pacific's least developed small island countries, Samoa has emerged as a successful economy. Its achievements of low inflation and high growth rates have been due to sustained fiscal adjustment programmes and appropriate monetary policy measures. This paper undertakes an...