Monetary policy and nominal convergence in CEE countries with inflation targeting

• Autorzy: Łukasz Goczek , Dagmara Mycielska
• Języki publikacji: EN

Abstrakty

EN

The article discusses the monetary policy in small open economies with inflation targeting and their nominal convergence to the larger monetary area. Using panel data set, the paper considers the relationship between interest rates of interbank markets in the euro area and selected Central European countries - non-euro members of the European Union that follow inflation targeting strategy. We test for panel cointegration and use two estimators: Augmented Mean Group and Random Coefficients. The empirical results show that in the long run the interest rates of non-euro EU countries follow the Eurozone interest rates. What is more important, the AMG model's common dynamic insignificance suggests that other factors are not relevant to the nature of interest rates transmission. (original abstract)

Słowa kluczowe

EN

Monetary policy; Inflation targeting strategy; Economic convergence; Eurozone; Economic models; Panel data; Small open economy

PL

Polityka pieniężna; Strategia bezpośredniego celu inflacyjnego; Konwergencja gospodarcza; Strefa euro; Modele ekonomiczne; Dane panelowe; Mała gospodarka otwarta

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2014
• Numer: nr 38
• Strony: 31--44

Twórcy

autor

Łukasz Goczek

• University of Warsaw, Poland

autor

Dagmara Mycielska

• University of Warsaw, Poland

Bibliografia

• Ball C.P., Reyes J., 2008. Inflation targeting or fear of floating in disguise? A broader perspective. Journal of Macroeconomics, 30, 308-326.
• Bond S., Eberhardt M., 2009. Cross-section dependence in nonstationary panel models: a novel estimator. Paper presented at the Nordic Econometrics Conference in Lund.
• Buscher H.S., Gabrisch H., 2011. What Might Central Banks Lose or Gain in case of Euro Adoption - A GARCH-Analysis of Money Market Rates for Sweden, Denmark and the UK. Halle Institute for Economic Research Discussion Papers No. 9.
• Calvo G., Reinhart R., 2002. Fear of floating. The Quarterly Journal of Economics, 117(2), 379-408.
• Crespo Cuaresma J., Wojcik C., 2006. Measuring monetary independence: Evidence from a group of new EU member countries. Journal of Comparative Economics, 34(1), 24-43.
• D'Adamo G., 2011. Estimating Central Bank preferences in a small open economy: Sweden 1995-2009. MPRA Paper No. 26575.
• Eberhardt, M., Teal F., 2010. Productivity Analysis in Global Manufacturing Production. Oxford University, Economics Series Working Papers No. 515,
• Edwards S., 2010. The international transmission of interest rate shocks: The Federal Reserve and emerging markets in Latin America and Asia. Journal of International Money and Finance, 29(4), 685-703.
• Ehrmann M., Fratzscher M., 2002. Interdependence between the euro area and the US: what role for EMU? European Central Bank Working Paper Series No. 200.
• Frankel J., Rose A., 1998. The endogeneity of the optimum currency area criteria. Economic Journal, 108 (449), 1009-1025.
• Frankel J., Schmukler S., Serven L., 2004. Global transmission of interest rates: monetary independence and currency regime. Journal of International Money and Finance 23(5), 701-733.
• Goczek L., Mycielska D., 2014a. Gotowi na euro? Badanie empiryczne faktycznej swobody polskiej polityki pieniężnej, Bank i Kredyt, 45(3), 267-290.
• Goczek L., Mycielska D., 2014b. Heterogeniczność polityki pieniężnej w krótkim i długim okresie, Roczniki Kolegium Analiz Ekonomicznych, forthcoming.
• Hsiao C., Pesaran H, 2004. Random coefficient panel data models, IZA Discussion Paper No. 1236.
• Masson P., Savastano M., Sharma S., 1997. The Scope for Inflation Targeting in Developing Countries, IMF Working Paper No. 97/130.
• Pesaran H., 2003. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence, Cambridge Working Papers in Economics No. 0346.
• Pesaran H., Shin Y., Smith R., 1999. Pooled mean group estimation of dynamic heterogeneous panels, Journal of the American Statistical Association, 94, 621-634.
• Reade J., Volz U., 2010. Too Much To Lose, Or More To Gain? Should Sweden Join the Euro? University of Birmingham Discussion Papers No. 10-13.
• Reade J., Volz U., 2011. Leader of the pack? German monetary dominance in Europe prior to EMU, Economic Modelling, 28(1-2), 239-250.
• Swamy P., 1970. Efficient Inference in a Random Coefficient Regression Model, Econometrica, 38, 311-323.
• Taylor J. B., 2007. Globalization and monetary policy: Missions impossible. In: Gertler M., Gali J. (Eds.), The international dimensions of monetary policy. NBER Conference, Girona, University of Chicago Press, 609-624.
• van Dijk D., Munandar H., Hafner C., 2011. The euro introduction and noneuro currencies. Taylor and Francis Journals 21(1-2), 95-116.
• Westerlund J. 2007. Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics, 69, 709-748