- citati u SCIndeksu: [3]
- citati u CrossRef-u:[1]
- citati u Google Scholaru:[
 ]
- posete u poslednjih 30 dana:10
- preuzimanja u poslednjih 30 dana:6
|
|
|
2015, vol. 43, br. 3, str. 143-158
|
|
Ocena transmisionog mehanizma monetarne politike u Srbiji
Estimation of transmission mechanism of monetary policy in Serbia
Projekat: Organizacione i informacione podrške sistemu upravljanja kvalitetom kao ključnim faktorom povećanja konkurentnosti naših preduzeća i njihiovog bržeg izlaska na svetsko i EU tržište (MPNTR - 179001)
Sažetak
Transmisioni mehanizam monetarne politike je u skorije vreme bio predmet nekoliko studija u Srbiji.Tzv. 'crna kutija' monetarne politike istraživana je sa ciljem da se uoče efekti transmisionog mehanizma u okruženju sa dominantnom ulogom deviznog kursa kao instrumenta centralne banke. Zbog toga, i sam je izazov suočiti se sa ovim problemom kada se u režimu ciljanja inflacije očekuje veća uloga referentne kamatne stope kao glavnog instrumenta monenetarne politike. U studiji je primenjen nerestrikovani model vektorske autoregresije kako bi se ispitao značaj kanala deviznog kursa i kanala kamatne stope. Kao što se moglo i očekivati, devizni kurs ima daleko jači uticaj na inflaciju nego što to ima referentna kamatna stopa, iako ima naznaka o postojanju kamatnog kanala. Uvođenje Euribor kamatne stope kao endogene varijable u VAR sistem dolazi se do zaključka da strana kamatna stopa ima značajan uticaj na kretanje realnih varijabli.
Abstract
Transmission mechanism of monetary policy recently has been subject to several studies in Serbia. The so called 'black box' of monetary policy is investigated with aim to identify the effects of transmission channel in environment where exchange rate has a dominant role in central bank operations. Therefore, it is a challenge to approach this problem in inflation targeting regime where key interest rate is expected to prevail as a main policy instrument. The study employs unrestricted Vector Autoregression model for estimating significance of exchange rate and interest rate channel. As expected, exchange rate has far more stronger influence on inflation, even though there are some signs of interest rate channel existence. Introducing Euribor as endogenous variables in VAR system displayed important impact on real variables.
|
|
|
|
Reference
|
|
|
*** Case of the Czech Republic. Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, pages, vol. 59(2), June. 137-152
|
|
|
*** Economy: The case of Serbia. Working Paper, National Bank of Serbia, 15; http://www.nbs.rs/internet/english/90/90_0/
|
|
|
Aleksić, M., Đurđević, L.J., Palić, M., Tasić, N. (2008) Interest rate transmission in a dollarized economy: The case of Serbia. National Bank of Serbia, Retrieved from http://www.nbs.rs/internet/english/90/90_0/
|
|
|
Babecká-Kucharèuková, O. (2009) Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic. Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, June. 59(2); 137-152
|
|
3  
|
Bungin, S., Filipović, S., Matović, D. (2012) Carry trade as a speculative investment strategy in Serbia. Industrija, vol. 40, br. 4, str. 219-234
|
|
|
Chailloux, A., Ohnsorge, F., Vavra, D. (2010) Euroisation in Serbia. EBRD, WP 120
|
|
|
Darvas, Z. (2012) Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions. Empirica, 40(2): 363-390
|
|
4
|
Dragutinović, D. (2008) Moć i nemoć monetarne politike u uspostavljanju ravnoteže između platnobilansnih ciljeva i ciljeva inflacije. NBS, Radni papir, www. nbs. rs
|
|
|
Favero, C.A. (1999) Applied Macro econometrics. Oxford University Press, Retrieved from http://www.bseu.by/russian/faculty5/stat/docs/4/Favero-Applied%20Macroeconometrics.pdf
|
|
|
Franta, M., Horvath, R., Rusnak, M. (2013) Evaluating changes in the monetary transmission mechanism in the Czech Republic. Empirical Economics, 46(3): 827-842
|
|
|
International Monetary Fund (2010) Republic of Serbia: Financial Sector Assessment Program Update: Technical Note on Systemic Liquidity Management. IMF Staff Country Reports, 10(153): 1
|
|
12 
|
Josifidis, K., Allegret, J., Beker-Pucar, E. (2009) Monetary and exchange rate regimes changes: The cases of Poland, Czech Republic, Slovakia and Republic of Serbia. Panoeconomicus, vol. 56, br. 2, str. 199-226
|
|
|
Kujundzic, S., Otasevic, D. (2012) The bank lending channel in an euroised economy: The case of Serbia. National Bank of Serbia, Retrieved from http://www.nbs.rs/export/sites/default/internet/english/90/90_0/2012_24_SK_DO_e.pdf
|
|
|
Lutkepohl, H. Reports on banking sector. Retrieved from http://www.nbs.rs/internet/latinica/55/55_4/index.html
|
|
|
Lutkepohl, H. (1991) Introduction to multiple time series analysis. Berlin, itd: Springer Verlag
|
|
|
Łyziak, T., Kapuściński, M., Stanislawska, E., Przystupa, J., Wrobel, E., Sznajderska, A. (2014) Monetary policy transmission mechanism in Poland What do we know in 2013. National Bank of Poland, Economic Institute, Retrieved from http://www.nbp.pl/publikacje/materialy_i_studia/180_en.pdf
|
|
3
|
Miljković, M., Filipović, S., Tanasković, S. (2013) Tržišna koncentracija u bankarskom sektoru - primer Srbije. Industrija, vol. 41, br. 2, str. 7-25
|
|
|
Palić, M., Vilaret, S. (2007) Exchange rate pass-through effect on prices in Serbia. NBS, Working Paper No. 5
|
|
|
Tasić, N. (2008) Pass-through of exchange rates to prices in Serbia. Retrieved from 2001-2007; http://www.nbs.rs/internet/english/90/90_0/
|
|
|
|
|