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Author
Crespo-Cuaresma Jesus, Wójcik Cezary
Title
The Monetary Independence Hypothesis: Evidence from the Czech Republic, Hungary and Poland
Source
Bank i Kredyt, 2004, nr 1, s. 4-14, bibliogr. 18 poz.
Keyword
Transmisja zjawisk szokowych, Kurs walutowy, Polityka pieniężna
Transmission of shocks, Exchange rates, Monetary policy
Note
summ., streszcz.
Country
Czechy, Węgry, Polska
Czech Republic, Hungary, Poland
Abstract
Empirical evidence on the validity of the monetary independence hypothesis for a group of advanced accession countries (the Czech Republic, Hungary and Poland) is presented. In particular, we employ Dynamic Conditional Correlation Multivariate GARCH (DCC-MGARCH) models to estimate the degree of (time-varying) correlation in interest rates shocks with respect to two leading economies, Germany and the US, under different exchange rates regimes. The results are mixed: while the dynamic behaviour of the correlations in interest rate shocks in the Czech Republic appears consistent with theory, no evidence concerning the validity of the monetary hypothesis is found for Hungary and Poland.
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Bibliography
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ISSN
0137-5520
Language
eng
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