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A Change in Volatility or Asymmetry? A Monetary Transmission Mechanism in Small Open European Economies during the Financial Crisis

dc.contributor.authorWłodarczyk, Przemysław
dc.date.accessioned2026-02-26T15:20:59Z
dc.date.available2026-02-26T15:20:59Z
dc.date.issued2025-12-10
dc.identifier.issn1508-2008
dc.identifier.urihttp://hdl.handle.net/11089/57548
dc.description.abstractThe article analyses the influence of crisis-induced changes in economic activity on the monetary transmission mechanism in the small open economies of Czechia, Hungary, Poland, and Sweden from 2000: 1 to 2016: 5 using the Markov Switching Structural Bayesian Vector Autoregressive models. The results confirm that in countries where the exchange rate transmission channel is relatively weak (Hungary and Sweden), changes in volatilities coincide with changes in the coefficients of the monetary transmission mechanism, reducing the efficiency of a monetary policy during a crisis. The changes of the coefficients occurred in neither Poland nor Czechia, where the exchange rate pass-through was not closed completely. The results imply that in small open economies, public authorities’ efforts to sustain exchange rate pass-through may critically affect their ability to retain monetary control during a crisis.en
dc.description.abstractW artykule przeprowadzono analizę wpływu wywołanych kryzysem zmian w aktywności gospodarczej na mechanizm transmisji monetarnej w małych gospodarkach otwartych Czech, Węgier, Polski i Szwecji w okresie od stycznia 2000 do maja 2016 roku. W badaniu wykorzystano strukturalne bayesowskie modele wektorowej autoregresji z przełączaniem Markowa (MSBSVAR). Wyniki wskazują, że w krajach, w których kanał transmisji kursu walutowego jest stosunkowo słaby (Węgry i Szwecja), zmianom wariancji procesów gospodarczych w okresie kryzysu towarzyszyła zmiana wartości współczynników mechanizmu transmisji monetarnej, co w sposób negatywny wpływało na skuteczność polityki pieniężnej. Zmiany tego typu nie były obserwowane w Polsce i w Czechach, gdzie kanał transmisji kursu walutowego nie został całkowicie zneutralizowany. Wyniki sugerują, że wysiłki władz publicznych w małych gospodarkach otwartych, mające na celu utrzymanie kanału transmisji kursu walutowego, mogą mieć decydujący wpływ na ich zdolność do utrzymania skuteczności polityki pieniężnej w okresie kryzysu.pl
dc.language.isoen
dc.publisherWydawnictwo Uniwersytetu Łódzkiegopl
dc.relation.ispartofseriesComparative Economic Research. Central and Eastern Europe;4en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0
dc.subjectmonetary transmission mechanismen
dc.subjecteconomic crisisen
dc.subjectsmall open economyen
dc.subjectMarkov Switching Bayesian Structural Vector Autoregression (MSBSVAR)en
dc.subjectmechanizm transmisji monetarnejpl
dc.subjectkryzys gospodarczypl
dc.subjectmała gospodarka otwartapl
dc.subjectstrukturalne bayesowskie modele wektorowej autoregresji z przełączaniem Markowa (MSBSVAR)pl
dc.titleA Change in Volatility or Asymmetry? A Monetary Transmission Mechanism in Small Open European Economies during the Financial Crisisen
dc.title.alternativeZmiana wariancji czy asymetria? Mechanizm transmisji monetarnej w małych, otwartych gospodarkach europejskich w czasie kryzysu finansowegopl
dc.typeArticle
dc.page.number183-213
dc.contributor.authorAffiliationUniversity of Lodz, Department of Economic Policy, Faculty of Economics and Sociologyen
dc.identifier.eissn2082-6737
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dc.contributor.authorEmailprzemyslaw.wlodarczyk@uni.lodz.pl
dc.identifier.doi10.18778/1508-2008.28.33
dc.relation.volume28


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