Monetary policy transmission: the case of Lithuania

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Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Language:
Anglų kalba / English
Title:
Monetary policy transmission: the case of Lithuania
Authors:
In the Journal:
Baltic journal of economics. 2017, Vol. 17, no. 1, p. 1-24
Subject Category:
LT
Pinigai. Valiuta / Money. Currency.
Summary / Abstract:

LTReikšminiai žodžiai: Euro zona; Panelinė VAR; Pinigų politika; SVAR; VAR panelė; Euro area; Monetary policy; Panel VAR; SVAR.

ENWe study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. We employ a structural vector autoregressive model incorporating variables from both the euro area and Lithuania. The model exhibits a block exogenous structure to account for the fact that Lithuania is a small economy. In general, we find that a monetary policy shock in the euro area has a stronger effect on the Lithuanian than it does on the euro area economy, though the effects are not statistically significant, preventing firm conclusions. We further broaden our analysis employing a panel vector autoregression (PVAR) model for the three Baltic states. PVAR model results suggest a stronger impact of monetary policy than that estimated using the Lithuanian model and a quite considerable degree of variation over time in the strength of monetary policy transmission. [From the publication]

DOI:
10.1080/1406099X.2016.1242330
ISSN:
1406-099X; 2334-4385
Subject:
Ekonomika / Economics
Related Publications:
Application of the integrated accounts framework for empirical investigation of the economic and financial cycle in Lithuania / Tomas Ramanauskas, Skirmantė Matkėnaitė, Virgilijus Rutkauskas. Pinigų studijos. 2016, Nr. 1, p. 61-79.
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2021-04-18 17:26:33
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