We examine the insulating property of flexible exchange rate in CEE economies using the fact that they have adopted different regimes. A set of Bayesian structural VAR models with common serial correlations is estimated on data spanning 1998q1-2015q4. The long-term identifying restrictions are...

The paper examines whether exchange rates in Poland and Slovakia acted as shock absorbers or rather shock-propagating mechanisms. A set of Bayesian structural VAR models is built for each country that enables us to identify supply, demand, monetary and financial shocks. Identifying restrictions...

The paper examines whether exchange rates in Poland and Slovakia acted as shock absorbers or rather shock-propagating mechanisms. A set of Bayesian structural VAR models is built for each country that enables us to identify supply, demand, monetary and financial shocks. Identifying restrictions...

In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on...

The concept of cointegration that enables the proper statistical analysis of long-run comovements between unit root processes has been of great interest to numerous economic investigators since it was introduced. However, investigation of short-run comovement between economic time series seems...