Publication detail

Transmission Lags of Monetary Policy: A Meta-Analysis

Author(s): doc. PhDr. Tomáš Havránek Ph.D.,
PhDr. Marek Rusnák M.A., Ph.D.,
Type: IES Working Papers
Year: 2012
Number: 27
ISSN / ISBN:
Published in: IES Working Papers 27/2012
Publishing place: Prague
Keywords: Monetary policy transmission, vector autoregressions, meta-analysis
JEL codes: C83, E52
Suggested Citation: Havránek, T., Rusnák M. (2012). “Transmission Lags of Monetary Policy: A Meta-Analysis” IES Working Paper 27/2012. IES FSV. Charles University.
Abstract: The transmission of monetary policy to the economy is generally thought to have
long and variable lags. In this paper we quantitatively review the modern literature
on monetary transmission to provide stylized facts on the average lag length and the
sources of variability. We collect 67 published studies and examine when prices
bottom out after a monetary contraction. The average transmission lag is 29 months,
and the maximum decrease in prices reaches 0.9% on average after a onepercentage-
point hike in the policy rate. Transmission lags are longer in developed
economies (25–50 months) than in transition economies (10–20 months). We find
that the factor most effective in explaining this heterogeneity is financial
development: greater financial development is associated with slower transmission.
Our results also suggest that researchers who use monthly data instead of quarterly
data report systematically faster transmission.
Downloadable: WP_2012_27_Havranek_Rusnak

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