The paper analyses the financial structure of the private sector in the Czech Republic, Hungary and Poland and assesses its implications for the monetary transmission mechanism. The financial accounts of these countries provide a picture of a private sector which is predictably financially less...

We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

The empirical VAR literature on the monetary transmission mechanism in open economies has not yet provided a commonly accepted solution to the problem of simultaneity between interest rates and the exchange rate. In this paper we propose to solve the identification problem by using information...

Understanding the monetary policy transmission mechanism is pivotal for the design of an effective monetary policy. In this regard, the coexistence of interest rate and cost channel of monetary policy has raised important implications for the conduct of monetary policy. This article estimates a...

Monetary transmission mechanism (MTM) is an illuminating policy tool in appreciating the monetary policy implementations by policy makers upon various nominal and real factors of interest in the eyes of economic agents. Especially in an open economy such as Turkish economy highly exposed to the...

In this paper we suggest a VAR specification that proves to be successful in resolving the price puzzle featuring in VARs used for monetary policy analysis. We show that augmenting a standard VAR with a small number of variables that have forward-looking informational content is capable of...

Asset prices may react to news through changes in expected monetary policy. We examine whether economic news directly affects expected changes in monetary policy, measured by changes in federal funds rate futures prices. Because these prices depend on monthly averages of the effective funds...

This paper develops and estimates an unobserved components model for purposes of monetary policy analysis and inflation targeting in a small open economy. Cyclical components are modeled as a multivariate linear rational expectations model of the monetary transmission mechanism, while trend...

This paper develops and estimates a dynamic stochastic general equilibrium model of a small open economy which provides a quantitative description of the monetary transmission mechanism, yields a mutually consistent set of indicators of inflationary pressure together with confidence intervals,...