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Crespo-Cuaresma Jesus, Wójcik Cezary
The Monetary Independence Hypothesis: Evidence from the Czech Republic, Hungary and Poland
Bank i Kredyt, 2004, nr 1, s. 4-14, bibliogr. 18 poz.
Słowa kluczowe
Transmisja zjawisk szokowych, Kurs walutowy, Polityka pieniężna
Transmission of shocks, Exchange rates, Monetary policy
summ., streszcz.
Czechy, Węgry, Polska
Czech Republic, Hungary, Poland
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.
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
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  4. Borensztein, Eduardo, Jeromin Zettelmeyer and Thomas Phippon, 2001. Monetary Independence in Emerging Markets: Does the Exchange Rate Regime Make a Difference?. IMF WP/01/01.
  5. Engle, Robert F., 2002. Dynamic Conditional Correlation- A Simple Class of Multvariate GARCH Models. Journal of Business and Economic Statistics. 20. 339-350.
  6. Engle, Robert F. and Kevin Sheppard, 2001. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. Mimeo. University of California. San Diego.
  7. Frankel, Jeffrey, 1999. No Single Currency Regime is Right For All Countries or at All Times. NBER WP 7338.
  8. Frankel, Jeffrey, Sergio Schmukler and Luis Serven, 2000. Global Transmission of Interest Rates: Monetary Independence and Currency Regime. NBER Working Paper 8828. Forthcoming in the Journal of International Money and Finance.
  9. Frankel, Jeffrey and Andrew Rose, 1998. The Endogeneity of the Optimal Currency Area Criteria. The Economic Journal .108. no. 449. July 1998. 1009-1025
  10. Fratzscher, Marcel, 2002. The Euro Block, the Dollar Block and the Yen Block. How Much Monetary Policy independence Can Exchange Rate Flexibility Boy in Interdependent World. ECB Working Paper No. 154 (June).
  11. Friedman, Milton, 1953. The Case for Flexible Exchange Rates. In Essays in Positive Economics. 157-203. Chicago: University of Chicago Press.
  12. Habib, Maurizio Michael, 2002. Financial contagion, interest rates and the rołe of the exchange rate as shock absorber in Central and Eastern Europe. BOFIT Discussion Papers. No. 7.
  13. Hali, Edison and Ronald MacDonald, 2000. Monetary Policy Independence in the ERM: Was There Any?. International Finance Discussion Papers No. 665. Board of Governors of the Federal Reserve System.
  14. Hausmann, Ricardo, Ugo Panizza and Ernesto Stein, 2000. Why Do Countries Float the Way They Float. Inter-American Development Bank Working Papers
  15. Hausmann, Ricardo, Michael Gavin, Carmen Pages-Serra, Ernesto Stein, 1999. Financial Turmoil and the Choice of Exchange Rate Reimes. Inter-American Development Bank Working Papers
  16. Kroner, Kenneth F. and Victor K. Ng, 1998. Modelling asymmeuic comovements of asset returns. Review of Financial Studies. 11. 817-844.
  17. Levy-Yeyati, E., Sturzenegger F., 2000. Deeds vs. Words: Classifying Exchange Rate Regimes. GIF Working Paper No. 6. Universidad Torcuato Di Tella.
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