engleski

Granger causality and innovation accounting analysis of the monetary transmission mechanism in Croatia

This paper explores the pass-through of different monetary policy channels to inflation in Croatia in period 1998:M1 – 2009:M12. Using a four step procedure: unit root test, co-integration test, Granger causality and innovation accounting techniques, we found that (i) interest rates, credits and the nominal exchange rate do not Granger-cause inflation individually, however they do with nominal M1 money supply jointly at lag two ; (ii) a nominal effective exchange rate is the most important pass-through to inflation statistically, accounting for approximately 11% of forecast error variance after four years ; (iii) credits and nominal M1 have very small portions in explaining variations in the total variance of inflation ; and (iv) the nominal interest rate is the weakest but statistically significant channel to inflation in the long-run. These results are discussed in this paper within the Croatian monetary framework and future developments of monetary channels in Central and Eastern European countries.

monetary transmission; monetary policy channels; Croatia; pass-through; Granger causality; innovation

nije evidentirano