Asymmetric Monetary Transmission? Evidence from CEE Region
|Author:||Mgr. Amela Saric|
|Year:||2012 - summer|
|Leaders:|| Filip Rozsypal MSc.
|Work type:|| Masters
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||This thesis investigates monetary transmission asymmetries in CEE region.
The first part addresses the role of credit growth in monetary transmission in
the Czech Republic. Employing Logistic Smooth Transition Vector Autoregression
model over the 1998:M1-2012:M3 period, we find that high credit growth
dampens the effectiveness of monetary policy. No asymmetries in relative effects
of contractionary and expansionary monetary policy shocks have been
documented. In the second part, we apply the variation of Panel VAR to examine
the role of financial structure in monetary transmission. The analysis
is conducted on a sample of eight CEE states, encompassing the 1999:Q1-
2009:Q4 period. Higher credit dependence is found to enhance the interest
rate pass-through. However, cross-country asymmetries vanish when the credit
dependence is interacted with the measure of banking sector competition. The
ultimate role of financial structure in output and price fluctuations is indeterminable.
|Downloadable:|| DT Saric