Euro area monetary policy transmission in Estonia

Artikel

This paper studies the effect of a monetary policy shock in the euro area on the main Estonian economic and financial variables between 2000 and 2012. Using a standard structural vector autoregression (SVAR) model we find strong and persistent effects on Estonian GDP, private consumption, corporate investment, and imports. A monetary policy shock also has strong and sluggish effects on the housing loan and consumer credit interest rates. The estimated reaction of Estonian GDP and the GDP deflator-based inflation rate is about four times stronger than the reaction of euro area-wide aggregates. The strength of the impact depends on the inclusion of the data from the years of the recent financial and economic crisis.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Baltic Journal of Economics ; ISSN: 2334-4385 ; Volume: 14 ; Year: 2014 ; Issue: 1-2 ; Pages: 55-77 ; London: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles ; Monetary Policy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Estonia ; euro area ; monetary policy ; SVAR

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Errit, Gertrud ; Uusküla, Lenno
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): London
• (when): 2014

Further information

• DOI: doi:10.1080/1406099X.2014.980113
• Handle: http://hdl.handle.net/10419/180072
• Last update: 10.03.2025, 11:43 AM CET