This paper uses VAR analysis to illustrate that bank loans under commitment behave differently than loans not under commitment in response to a monetary shock. We find that firms use commitments more intensively after a monetary tightening and argue this helps explain the puzzling response of...

This paper investigates the impact of international shocks - interest rate, commodity price and industrial production shocks - on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In contrast to...

This paper explores the influence of wage and price staggering on monetary persistence. We show that, for plausible parameter values, wage and price staggering are complementary in generating monetary persistence. We do so by proposing the new measure of "quantitative inertia," after discussing...

We analyze several identification frameworks based on operating procedures to measure monetary policy in a small open economy. We use a two-stage non-recursive VAR model to identify monetary shocks. We construct then various overall monetary policy indicators based on different residuals...

This paper investigates the impact of international shocks – interest rate, commodity price and industrial production shocks – on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In...

This paper relates the inflationary impact of commodity price shocks across countries to a broad range of structural characteristics and policy frameworks over the period 2001-2010, using several approaches. The analysis suggests that economies with higher food shares in CPI baskets, fuel...

During the globalization process, each country tries to have monetary stability, macro economic discipline, an effective finance system, and a more competitive market mechanism. On the aspects of applied policies and politicians' reliability, their accountability and transparency is far...

Since July 2014, after a remarkably favourable half year in which oil price reached a peak of US$115 per barrel and equity market capitalization touched an historic peak of N14 trillion, the Nigerian economy has been buffeted by the twin shocks of global commodity price slump and global...

In this paper we provide new evidence of the transmission mechanism of monetary policy in Dominican Republic using a Structural Vector Autoregressive methodology where we incorporate carefully a set of constraints on contemporary relationships composed of domestic and external variables. Using...

This paper contributes to a deeper understanding of macroeconomic outcomes to financial market disturbances and the central bank’s role in financial stability, by using Bayesian VAR (BVAR) models. We document that a shock that increases credit to non-financial sector leads to a persistent...