A Cross-Country Analysis of Monetary Policy Effects on Prices
Coric, Bruno; Malešević Perović, Lena; Simic, Vladimir
Year: 2015 Volume: 65 Issue: 5 Pages: 377-390
Abstract: What determines the size of monetary policy effects on prices? This is one of the crucial questions for the efficient conduct of monetary policy. Therefore, this study investigates this issue by exploring variations in the responsiveness of prices to a monetary policy shock across 46 developed and developing countries. We first use a structural vector autoregression model to estimate monetary policy effects for each country separately. The estimated effects are thereafter treated as the dependent variable in a cross-country regression. The results suggest that the size of the short-run effect of a monetary policy shock on prices is significantly larger in countries with higher trade openness, a more flexible exchange rate, and a larger and more developed banking sector, while the effect is smaller in countries with the English legal origin.
JEL classification: E52; F41
Keywords: monetary policy effects, trade openness, financial openness, exchange rate regime
RePEc: http://ideas.repec.org/a/fau/fauart/v65y2015i5p377-390.html
 Attachment [PDF] |  Print  Recommend to others |
