Naslov
ECONOMETRIC ANALYSIS OF ASSET PRICE CHANNELS IN MONETARY TRANSMISSION – VECTOR MODELS APPROACH

Autori
Beljo, Ivana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Skup
84th International Scientific Conference Economic and Social Development (ESD 2022)

Mjesto i datum
NP Plitvička jezera, Hrvatska, 17.06.2022. - 18.06.2022

Vrsta sudjelovanja
Ostalo

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
econometric analysis, cointegration, monetary transmission mechanism, vector models

Sažetak
Monetary policy is implemented by central banks. Its primary objective in most central banks, including the Croatian National Bank, is maintaining price stability - the central bank supports low and stable inflation. Given that the monetary policy decisions of the central bank are transferred to the real economy, the bank needs to know the channels of operation of the monetary transmission mechanism. In Croatia, the use of the exchange rate as the operational goal of monetary policy prevails, which is characteristic of less developed and countries in transition with small and open economies. The aim of this research is to determine the statistical significance of the asset price channel in monetary transmission to the total Croatian economy. The impact of monetary measures on the real economy was examined by econometric analysis. An assessment of the corresponding vector models was performed and the existence of cointegration among the observed variables was examined using the Johansen procedure. The analysis was conducted on the basis of quarterly data for the period of twenty years, from January 2002 to January 2022. The real economy is approximated by the consumer price index. In addition to asset prices, the impact of monetary variables such as interest rates and exchange rate on the economy was analyzed. Based on the obtained results, as expected with regard to previous research on monetary transmission in the Republic of Croatia, the exchange rate channel has the most significant long-term impact on the real economy. The analysis of the obtained vector models shows the strengthening of the monetary transmission mechanism through the interest rate channel to the Croatian economy. Also, long-term impact of the asset prices on the growth of the Croatian economy proved to be statistically significant. Additionally, limitations and recommendations for future research were given.

Izvorni jezik
Engleski

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