Canaux de transmission de la politique monétaire dans l'ue

Abstract

L'etude porte sur les canaux de transmission de la politique monetaire (ctpm) en Hongrie, en Pologne et en Republique tcheque entre 1995 et 2004. Elle est basee sur une analyse vectorielle autoregressive incluant le credit parmi les varia bles endogenes. Les pays partagent un certain nombre de points communs en ter mes de ctpm : un impact rapide, mais faible, sur la production industrielle; la pre sence d'une ? enigme ? du taux de change plutot que des prix apres une hausse du taux d'interet; et un canal du credit encore balbutiant. Comparativement a la Republique tcheque et a la Hongrie, c'est en Pologne que les canaux du taux de change et du taux d'inter?t jouent le rdle le plus important sur la periode r&cente : le cout d'entree dans la zone euro pourrait done etre plus 6leve pour la Pologne. MONETARY POLICY TRANSMISSION MECHANISMS IN THE EU: THE CASES OF THREE NEWCOMERS A structural var model is used to investigate the relative importance of interest rate, exchange rate and credit channels in the monetary policy transmission in the Czech Republic, Hungary and Poland between 1995 and 2004. Main results are as follows. First, responses of industrial production to the monetary shocks are fast but are not long-lived. Second, there is no ? price-puzzle ? per se, but instead an ? exchange rate puzzle ?. Third, the credit channel is not yet very powerful. Over the recent period, the exchange rate and interest rate channels have played a more prominent role in Poland than in the Czech Republic and Hungary: entering emu may thus be more costly for Poland.

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