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2009 | 2 | nr 2 | 34--46
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Impulse response to monetary policy shocks at the level of industry

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The paper aims at broadening the analysis of the mechanism of the impulse transmission of monetary policy through the analysis of the impact of central bank policy shocks on the output of individual sections within the processing industry of the Polish economy. The analysis is carriied out in the context of the approach to a transmission mechanism widely used in literature based on the vector autoregression models (VAR). The additional use of information at a more disaggregated level should enable a better understanding of the transmission mechanism. In the light of recent events on the financial markets, it is essential that such an approach to transmission analysis should potentially enable also the research of susceptibility in particular sectors of the economy to the decisions of the central bank depending on the balance structure typical to particular sectors of the economy and being a derivative of the typical structure of financing business. (original abstract)
Opis fizyczny
  • Szkoła Główna Handlowa w Warszawie
  • Christiano L. J., Eichenbaum M., Evans Ch. L., Monetary policy shocks: What have we learned and to what end? in: J. B. Taylor, M. Woodford (ed.), Handbook of Macroeconomics, Vol. 1, Elsevier Science, 1999, pp. 65-148.
  • Dedola L., Lippi F., The monetary transmission mechanism: Evidence from the industries of five OECD countries, "European Economic Review", 2005, Vol. 49, pp. 1543-1569.
  • de Dios Tena J., Tremayne A. R., Modelling Monetary- Transmission in UK Manufacturing Industry, Working Paper 06-29, Universidad Carlos Madrid, 2006.
  • Gertler M., Gilchrist S., Monetary policy, business cycles, and the behavior of small manufacturing firms, "Quarterly Journal of Economics", 1994, Vol. 109, pp. 309-340.
  • Łyziak T., Przystupa J., Wróbel E., Monetary policy transmission in Poland: a study of the importance of interest rate and credit channels, SUERF - The European Money and Finance Forum, 2008.
  • Mojon B., Peersman G., A VAR description of the effects of monetary policy in the individual countries of the euro area, ECB Working Paper No. 92, European Central Bank] Frankfurt 2001.
  • Peersman G., Smets G., The industry effects of monetary policy in the Euro area, ECB Working Paper No. 91, European Central Bank, Frankfurt 2001.
  • Raddatz C., Rigobon R., Monetary Policy and Sectoral Shocks: Did the Federal Reserve React Properly to the High-Tech Crisis, Policy Research Working Paper, World Bank, 2003.
  • Wróbel E., Pawłowska M., Monetary transmission in Poland: some evidence on interest rate and credit channels, Materiały i Studia Nr 24, Narodowy Bank Polski, Warszawa 2002.
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