CEU Electronic Theses and Dissertations, 2018
| Author | Pavelka, Alexandra |
|---|---|
| Title | Did Monetary Transmission Mechanism Change in Hungary After the Crisis? Evidence from different SVAR Models Before and After 2008 |
| Summary | This thesis is part of the Hungarian transmission mechanism literature. There is a more comprehensive research material on the transmission mechanism before the crisis than after the crisis. I aim to contribute to the latter part. The hypothesis is that the transmission mechanism changed. I used SVAR approach to create impulse responses for a monetary policy shock. In addition to the existing literature, I use same models in separate samples before (2000M1-2008M7) and after (2008M8-2018M2) the crisis. I used contemporaneous restrictions on the covariance matrix and sign restriction on impulse responses identification approaches as well, to see if the results are robust to identification techniques. Both estimation show that the effects of a monetary contraction are different in the two samples, which lead to the conclusion that there was a change in the transmission mechanism. The results are in line with the theory of decreased slope of the Philips curve (Blanchard, 2014): the output responds more, the inflation responds less to a monetary tightening. If interest rate policy aims to decrease inflation, there is bigger “growth” price to pay than before the crisis. Output, liquidity and exchange rate responded stronger to a policy intervention after the crisis, which means transmission channels of monetary policy improved. |
| Supervisor | Világi, Balázs |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2018/pavelka_alexandra.pdf |
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