Global financial crisis-driven mutations affecting the transmission mechanism customized to monetary policy strategies. A VAR, SVAR and BVAR approach

• Published in: Theoretical and applied economics Vol. XXI; no. 2; pp. 35 - 66
• Main Author: Iulian Vasile POPESCU
• Format: Journal Article
• Language: English
• Published: General Association of Economists from Romania 01.02.2014
• Subjects: autoregressive vector; Central and Eastern Europe; impulse response functions; monetary policy; transmission mechanism
• ISSN: 1841-8678; 1844-0029

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 methods: vector autoregressive (VAR), structural vector autoregressive (SVAR) and Bayesian techniques-estimated vector autoregressive (BVAR). The main results have indicated: 1) lack of similarity of the transmission mechanism, a high degree of heterogeneity in the transmission of monetary policy impulses indicated in all three cases subject to analysis: speed, persistence and amplitude, 2) an increase in the speed of monetary policy shocks transmission, a decrease in the amplitude of monetary policy shock impact and a reduction (or the maintaining at a similar level) of the persistence of monetary policy shock effects subsequent to the global financial crisis, regardless of the monetary policy strategy used.