Europos centrinio banko vykdomos pinigų politikos įtaka Lietuvos realiajam sektoriui

LTStraipsnyje yra nagrinėjama Europos centrinio banko (ECB) vykdomos pinigų politikos įtaka Lietuvos ekonomikos realiajam sektoriui. ECB vykdomos pinigų politikos poveikio analizė yra aktuali Lietuvos ekonomikai, pirma, dėl esamo pinigų režimo – valiutų valdybos – bei, antra, dėl Europoje vykstančios ekonomikų globalizacijos, į kurią Lietuvos ekonomika yra tiesiogiai įsitraukusi. Minėta analizė yra vykdoma nagrinėjant Lietuvos pinigų politikos poveikio perdavimo mechanizmą, ir laikant, kad pradiniai pinigų politikos impulsai – bazinės palūkanų normos keitimas – kyla iš ECB. Pinigų politikos poveikio perdavimo mechanizmo kanalų tyrimui buvo sudaryti ekonometriniai modeliai, kurie pagrįsti vektorinės autoregresijos metodu. Šiuo metodu darbe yra ištirti tradicinis palūkanų normos, valiutos kurso, Tobin‘o q bei turto vertės kanalų aktyvumas. Tyrimas vektorinės autoregresijos metodu parodė, kad Lietuvos tradicinis palūkanų normos, valiutos kurso, Tobin‘o q bei turto vertės kanalai yra aktyvūs, t.y. ECB vykdoma pinigų politika įtakoja Lietuvos ekonomikos realųjį sektorių. Be to, buvo įvertinti pinigų politikos poveikio vėlinimai realaus sektoriaus kintamiesiems vertinant kiekvieną kanalą atskirai. Gautų tyrimo rezultatų naudingumas pasireiškia tuo, kad (a) žinios apie pinigų politikos poveikio mechanizmą pasitarnauja efektyvesnei ir tikslesnei pinigų politikai Lietuvoje vykdyti; (b) žinios apie šį mechanizmą reikalingos daugeliui ekonomikos dalyvių (vyriausybei, bankams, verslo įmonėms) sudarant tikslesnes ir patikimesnes veiklos prognozes. [Iš leidinio]Reikšminiai žodžiai: Valiutų valdyba; Pinigų politikos poveikio mechanizmas; Tradicinis palūkanų; Normos kanalas; Valiutos kurso kanalas; Tobin’o q kanalas; Turto vertės kanalas; Integracija į Europos Sąjungą; Vektorinės autoregresijos metodas (VAR); Vektorinis paklaidos korekcijos modelis (VECM); Currency board; Monetary transmission mechanism; Valiutų valdyba; Traditional interest rate channel; Exchange rate; Tradicinis palūkanų normos kanalas; Effects on net exports; Tobin’s q channel; wealth effects; EU integration; Integracija į Europos; Vector autoregression (VAR); Sąjungą; Vector error correction model (VECM); Currency board; Exchange rate effects on net exports; Vector error correction model; (VECM).

ENThis article presents a research on the monetary transmission mechanism in Lithuania when primary monetary impulses emerge from the euro monetary policy. Such analysis is relevant to Lithuania’s economy because of several reasons. Firstly, Lithuania employs a currency board, which means that Lithuania’s economy is highly dependent on the monetary policy implemented against the base currency. In the case of Lithuania the base currency is euro. Secondly, Lithuania’s economy is becoming a more open economy due to the integration into the European Union. Such globalisation process means that Lithuania’s economy is more dependent on the movements that take place in the other European economies. In most of these economies euro is adopted or domestic currency is pegged to euro. Thus, the research on the influence of the euro monetary policy to Lithuania’s real sector is highly relevant to Lithuanian economic agents. To supplement this research the paper also presents a macroeconomic view into the monetary transmission mechanism concept. The research on the monetary transmission mechanism in Lithuania when the primary monetary impulses emerge from the euro monetary policy is performed using a vector autoregression (VAR) method.This contemporary econometric methodology serves in the identification and analysis of monetary transmission channels. In macroeconomic literature there are segregated traditional interest rate channel, other asset price channels (exchange rate effects on net exports, Tobin’s q channel, and wealth effects), and credit view (bank lending channel, balance sheet channel, cash flow channel, unanticipated price level channel, and household liquidity effects). The article presents four vector autoregression models constructed to research traditional interest rate channel and other asset price channels.The study is carried out on the 2002 Q2-2006 Q4 data, and the findings from the models are presented. The research on the traditional interest rate channel revealed that this channel is active in Lithuania during the period 2002 Q2-2006 Q4. Moreover, monetary policy lags are present. Lithuania’s real interest rate reacts to the euro official interest rate shock with one quarter lag, real investment reacts with three quarters lag and real GDP reacts with two quarters lag. The research on the exchange rate channel also revealed that this channel is active in Lithuania during the study period. The euro monetary policy lags are present only for the real value of litas (one quarter lag), whereas Lithuania’s real investment and real GDP reacts to the euro official interest rate shock immediately.The activeness of the Tobin‘s q channel was also approved during the study period. The research on it revealed that Lithuanian equity prices react to the euro official interest rate shock immediately, but the real investment and real GDP showed a lagged reaction (3 and 2 quarters accordingly). The research on the wealth channel also reflected the activeness of this channel. It showed that Lithuanian equity prices react to the euro official interest rate shock immediately, whereas real consumption and real GDP reacts in fluctuating manner. Thus, the study on the monetary transmission mechanism in Lithuania when the primary monetary impulses emerge from the euro monetary policy revealed that traditional interest rate channel and other asset price channels (exchange rate effects on net exports, Tobin’s q channel, and wealth effects) are active, i.e. euro monetary policy has impact on Lithuania’s real sector during the study period. Moreover, the results about the lags can be used in forecasting the behavior of real sector variables to the euro official interest rate shock based on condition that Lithuania’s future economic environment features similar characteristics as in 2002 Q2- 2006 Q4. [From the publication]