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TRANSMISSION EFFECTS IN THE PRESENCE OF STRUCTURAL BREAKS: EVIDENCE FROM SOUTH-EASTERN EUROPEAN COUNTRIES

 

Minoas Koukouritakis

University of Crete

 

Athanasios P. Papadopoulos

University of Crete

 

Andreas Yannopoulos

University of Crete

 

Abstract

In this paper, we investigate the monetary transmission mechanism through interest rate and real effective exchange rate channels, for five South-Eastern European countries, namely Bulgaria, Croatia, Greece, Romania and Turkey. Recent unit root and cointegration techniques in the presence of structural breaks in the data are used in the analysis. The empirical results validate the existence of a valid long-run relationship, with parameter constancy, for each of the five sample countries. Additionally, the estimated impulse response functions regarding the monetary variables and the real effective exchange rate converge and follow a reasonable pattern in all cases.

 

JEL Classification: E43, F15, F42

 

Keywords: Monetary Transmission Mechanism, Structural Breaks, LM Unit Root Tests, Cointegration Tests, Impulse Responses.

 

 

Acknowledgements: This study was conducted under the Bank of Greece’s programme of cooperation with Greek universities. The authors would like to thank Heather Gibson, Stephen Hall and George Tavlas for their constructive suggestions and helpful comments that improved the quality of the paper. The views expressed do not necessarily reflect those of the Bank of Greece.

 

 

 

Correspondence:

Athanasios P. Papadopoulos

Department of Economics

University of Crete

University Campus

Rethymno 74100, Greece

Tel: +302831077418

fax: +302831077404

e-mail: appapa@uoc.gr 


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