The currency board in Bulgaria and its impact on sectoral economic activity
This paper investigates the impulse reaction of five economic sectors to various monetary policy shocks under the currency board regime in Bulgaria. For that purpose, we have estimated five reduced form VAR models with quarterly data over the period 2001Q1 to 2019Q4 for the sectors of agriculture, m...
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| Format: | Article |
| Language: | English |
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Alexandru Ioan Cuza University of Iasi
2022-06-01
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| Series: | Eastern Journal of European Studies |
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| Online Access: | https://ejes.uaic.ro/articles/EJES2022_1301_PEY.pdf |
| _version_ | 1811314107663515648 |
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| author | Nikolay PEYKOV |
| author_facet | Nikolay PEYKOV |
| author_sort | Nikolay PEYKOV |
| collection | DOAJ |
| description | This paper investigates the impulse reaction of five economic sectors to various monetary policy shocks under the currency board regime in Bulgaria. For that purpose, we have estimated five reduced form VAR models with quarterly data over the period 2001Q1 to 2019Q4 for the sectors of agriculture, manufacturing; construction; real estate, and trade, transport and accommodation activities. The relevant impulse response functions represent three monetary transmission channels, in particular via the overnight interbank market rate, the consumer price index and the real effective exchange rate. We found that there is strong heterogeneity between sectors response to the different monetary policy shocks even under a currency board regime. The differences in the reaction are both in terms of depth, direction and duration. The monetary policy has strong positive impact on construction, and to a lesser extent on manufacturing. The response of the agriculture; trade, transport and accommodation activities is rather negative especially in the long term. |
| first_indexed | 2024-04-13T11:04:58Z |
| format | Article |
| id | doaj.art-d9867789cfec4905afca1abf2af96787 |
| institution | Directory Open Access Journal |
| issn | 2068-651X 2068-6633 |
| language | English |
| last_indexed | 2024-04-13T11:04:58Z |
| publishDate | 2022-06-01 |
| publisher | Alexandru Ioan Cuza University of Iasi |
| record_format | Article |
| series | Eastern Journal of European Studies |
| spelling | doaj.art-d9867789cfec4905afca1abf2af967872022-12-22T02:49:17ZengAlexandru Ioan Cuza University of IasiEastern Journal of European Studies2068-651X2068-66332022-06-0113112314710.47743/ejes-2022-0106The currency board in Bulgaria and its impact on sectoral economic activityNikolay PEYKOVThis paper investigates the impulse reaction of five economic sectors to various monetary policy shocks under the currency board regime in Bulgaria. For that purpose, we have estimated five reduced form VAR models with quarterly data over the period 2001Q1 to 2019Q4 for the sectors of agriculture, manufacturing; construction; real estate, and trade, transport and accommodation activities. The relevant impulse response functions represent three monetary transmission channels, in particular via the overnight interbank market rate, the consumer price index and the real effective exchange rate. We found that there is strong heterogeneity between sectors response to the different monetary policy shocks even under a currency board regime. The differences in the reaction are both in terms of depth, direction and duration. The monetary policy has strong positive impact on construction, and to a lesser extent on manufacturing. The response of the agriculture; trade, transport and accommodation activities is rather negative especially in the long term. https://ejes.uaic.ro/articles/EJES2022_1301_PEY.pdfmonetary policysectoral productionvector auto regressionimpulse response |
| spellingShingle | Nikolay PEYKOV The currency board in Bulgaria and its impact on sectoral economic activity Eastern Journal of European Studies monetary policy sectoral production vector auto regression impulse response |
| title | The currency board in Bulgaria and its impact on sectoral economic activity |
| title_full | The currency board in Bulgaria and its impact on sectoral economic activity |
| title_fullStr | The currency board in Bulgaria and its impact on sectoral economic activity |
| title_full_unstemmed | The currency board in Bulgaria and its impact on sectoral economic activity |
| title_short | The currency board in Bulgaria and its impact on sectoral economic activity |
| title_sort | currency board in bulgaria and its impact on sectoral economic activity |
| topic | monetary policy sectoral production vector auto regression impulse response |
| url | https://ejes.uaic.ro/articles/EJES2022_1301_PEY.pdf |
| work_keys_str_mv | AT nikolaypeykov thecurrencyboardinbulgariaanditsimpactonsectoraleconomicactivity AT nikolaypeykov currencyboardinbulgariaanditsimpactonsectoraleconomicactivity |