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标题：The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR
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作者：Olga Arratibel ; Henrike Michaelis
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper follows the Bayesian time-varying VAR approachwith stochastic volatility developed by Primiceri (2005), to analyze whetherthe reaction of output and prices to interest rate and exchange rate shockshas changed across time (1996-2012) in the Polish economy. The empiricalndings show that: (1) output appears more responsive to an interest rateshock at the beginning of our sample. Since 2000, absorbing this shock hasbecome less costly in terms of output, notwithstanding some reversal sincethe beginning of the global nancial crisis. The exchange rate shock also hasa time-varying eect on output. From 1996 to 2000, output seems to decline,whereas for periods between 2000 and 2008 it has a positive signicant eect.(2) Consumer prices appear more responsive to an interest rate shock duringthe rst half of our sample, when Poland experienced high ination. Theimpact of an exchange rate shock on prices seems to slightly decrease acrosstime.
关键词：Bayesian time-varying parameter VAR; monetary policy;transmission; exchange rate pass-through