Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/180072
Authors: 
Errit, Gertrud
Uusküla, Lenno
Year of Publication: 
2014
Citation: 
[Journal:] Baltic Journal of Economics [ISSN:] 2334-4385 [Volume:] 14 [Year:] 2014 [Issue:] 1-2 [Pages:] 55-77
Abstract: 
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.
Subjects: 
Estonia
euro area
monetary policy
SVAR
JEL: 
E32
E52
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

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