Title: Monetary policy transmission during the global economic crisis: A case of small open economies
Authors: Przemyslaw Wlodarczyk - University of Lodz (Poland) [presenting]
Abstract: Monetary policy is one of the key elements of undertaken macroeconomic policy, however, despite having relatively strong proof of the existence of short-run money-output nexus, we still lack adequate evidence concerning the cyclical characteristics of this relationship. Existing economic literature points towards apparent asymmetry of reaction of economies to changes in the character of monetary policy during the business cycle. It is however not clear whether these changes are a result of structurally different reaction of economic entities or a change in the volatilities of economic variables. We aim to fill this gap in existing research delivering new evidence on the money-output nexus in chosen small open economies. In our analyses we use Structural VAR (SVAR) model of monetary transmission mechanism for chosen small open economies (including e.g. non-eurozone Visegrad group countries). Model is estimated using data from the 2000-2015 period. We compare the results based on the short-run restrictions set using heteroscedasticity assumptions with the results of both traditional SVAR models with the restrictions based on either Cholesky decomposition or exclusion restrictions, as well as Threshold Structural VAR (TSVAR) models using Cholesky decomposition.