Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/180097
Authors: 
Stakenas, Julius
Stasiukynaite, Rasa
Year of Publication: 
2017
Citation: 
[Journal:] Baltic Journal of Economics [ISSN:] 2334-4385 [Volume:] 17 [Year:] 2017 [Issue:] 1 [Pages:] 1-24
Abstract: 
We study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. We employ a structural vector autoregressive model incorporating variables from both the euro area and Lithuania. The model exhibits a block exogenous structure to account for the fact that Lithuania is a small economy. In general, we find that a monetary policy shock in the euro area has a stronger effect on the Lithuanian than it does on the euro area economy, though the effects are not statistically significant, preventing firm conclusions. We further broaden our analysis employing a panel vector autoregression (PVAR) model for the three Baltic states. PVAR model results suggest a stronger impact of monetary policy than that estimated using the Lithuanian model and a quite considerable degree of variation over time in the strength of monetary policy transmission.
Subjects: 
Monetary policy
euro area
SVAR
panel VAR
JEL: 
E31
E52
C32
C33
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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