Portal de Periódicos da CAPES

Euro area monetary policy transmission in Estonia

2014; Taylor & Francis; Volume: 14; Issue: 1-2 Linguagem: Inglês

10.1080/1406099x.2014.980113

2334-4385

Gertrud Errit, Lenno Uusküla,

Fiscal Policies and Political Economy

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.