Business and Economic Horizons

  Previous Article | Back to Volume | Next Article
  Abstract | References | Citation | Download | Preview | Statistics
Volume 10
Issue 4
Online publication date 2015-02-22
Title Interest rates and structural shocks in European transition economies
Author Rajmund Mirdala
Abstract European transition economies are still suffering from negative implications of economic crisis. Significant decrease in the key interest rates was followed by reduced maneuverability of central banks in providing incentives into real economies. Responsiveness of short-term interest rates to the structural shocks provides unique platform to investigate sources of their unexpected volatility and associated effects on monetary policy decision making. Moreover, sources of interest rates volatility may help to reveal side effects of the exchange rate regime choice. In the paper we analyze sources of the short-term nominal interest rates volatility in ten European transition economies by employing SVAR methodology. We observed unique patterns of the short-term interest rates responsiveness in countries with different exchange rate arrangements that contributes to the fixed versus flexible exchange rate dilemma.  
Bratu, M., 2011. “Modeling and Forecasting the Exchange Rate in Romania”, Romanian Journal of Economics, Institutul de Economie Naţională al Academiei Române, 33(2): 56-72

Calvo, G., Reinhart, C., 2002. “Fear of Floating”, Quarterly Journal of Economics 117(2): 379-408,

Dabale, W.P., Jagero, N., 2013. “Causes of Interest Rate Volatility and its Economic Implications in Nigeria”, International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(4): 27-32

Damian, M., 2011. “The Comparative Analysis of the Monetary Policy Strategies before the Adoption of the Euro Currency and the Impact upon the Maastricht Criteria”, Journal of Applied Economic Sciences, 6(3): 222-229

Eijffinger, S., Schaling, E., Verhagen, W., 2000. “The Term Structure of Interest Rates and Inflation Forecast Targeting”, [CEPR, Discussion Paper 2375], London, CEPR

Emiris, M., 2006. “The Term Structure of Interest Rates in a DSGE Model”, [National Bank of Belgium, Working Paper Research No. 88] Brussels, National Bank of Belgium

Fendel, R., 2009. “Note on Taylor Rules and the Term Structure”, Applied Economics Letters, 16(11): 1097-1101,

Gerlach-Kristen, P., Rudolf, B., 2010. “Macroeconomic and Interest Rate Volatility under Alternative Monetary Operating Procedures”, [Swiss National Bank, Working Paper No. 2010-12] Zurich, Swiss National Bank

Kulish, M., 2007. “Should Monetary Policy Use Long-term Rates?” B.E. Journal of Macroeconomics, 7(1): 1-26,

McGough, B., Rudebusch, G., Williams, J.C., (2005). “Using a Long-term Interest Rates as the Monetary Policy Instrument”, Journal of Monetary Economics 52(5): 855-879,

Obstfeld, M., 1985. “Floating Exchange Rates: Experience and Prospects”, Brookings Papers on Economic Activity, 1985(2): 369-450,

Rudebusch, G.D., Sack, B.P., Swanson, E.T., 2006. “Macroeconomic implications of changes in the term premium”, [Federal Reserve Bank of San Francisco, Working Paper No.46/2006], San Francisco, Federal Reserve Bank of San Francisco

Stavarek, R., 2012. “Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective”, South East European Journal of Economics and Business, 3(2): 7-18

Keywords Interest rates, structural shocks, exchange rate arrangements, economic crisis, VAR, impulse-response function
Pages 305-319
Download Full PDF Download
  Previous Article | Back to Volume | Next Article
Search in articles
Journal Published articles
BEH 608
Journal Hits
BEH 1434010
Journal Downloads
BEH 47022
Total users online -