The Monetary Independence Hypothesis: Evidence from the Czech Republic, Hungary and Poland

• Autorzy: Jesus Crespo-Cuaresma , Cezary Wójcik
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

Transmission of shocks; Exchange rates; Monetary policy

PL

Transmisja zjawisk szokowych; Kurs walutowy; Polityka pieniężna

• Czasopismo: Bank i Kredyt
• Rocznik: 2004
• Numer: nr 1
• Strony: 4--14

Twórcy

autor

Jesus Crespo-Cuaresma

autor

Cezary Wójcik

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