A Cross-Country Analysis of Monetary Policy Effects on Prices
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 5
Abstract
What determines the size of monetary policy effects on prices? This is one of the crucial questions for the efficient conduct of monetary policy. Therefore, this study investigates this issue by exploring variations in the responsiveness of prices to a monetary policy shock across 46 developed and developing countries. We first use a structural vector autoregression model to estimate monetary policy effects for each country separately. The estimated effects are thereafter treated as the dependent variable in a cross-country regression. The results suggest that the size of the short-run effect of a monetary policy shock on prices is significantly larger in countries with higher trade openness, a more flexible exchange rate, and a larger and more developed banking sector, while the effect is smaller in countries with the English legal origin.
Authors and Affiliations
Bruno Corcic, Lena Malesevic Perovic, Vladimir Simic
Keywords
Related Articles
- EP ID EP297535
- DOI -
- Views 162
- Downloads 0
Liquidity Networks in Banking
Modern financial and banking systems are very much interconnected. In a setting where banks are prone to liquidity risk due to early withdrawals by depositors, this paper analyzes the optimal liquidity network relationsh...
Corporate Governance Quality and a Firm’s Adaptation to Competitive Threats
This paper shows that regulatory improvements of corporate governance quality mandated by the Sarbanes-Oxley Act (SOX) are associated with a better ability of firms to adapt to product-market competitive threats. We cont...
The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia
Mandatory pension funds in Croatia are defined contribution funds, meaning the investment risk is transferred to fund members. However, fund members are entitled to a guaranteed relative return: pension companies have to...
The Role of the Real Exchange Rate in Credit Growth in Central and Eastern European Countries: A Bank-Level Analysis
This study analyzes the effects of macroeconomic and bank-level variables on the loan growth of banks in Central and Eastern European countries (CEECs) for the period between 1999 and 2010. Differences between private, s...
Individual, Systematic and Systemic Risks in the Danish Banking Sector
This article discusses the relationship between micro-prudential variables and bank risk. For this purpose, we collect panel data on 21 Danish banks accounting for 88% of total market share in Denmark from 2000 to 2015 a...