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Using the structural vector autoregressive methodology, we present estimates of monetary transmission for the new and future EU member countries in Central and Eastern Europe. Unlike most previous research we include ten transition countries. We examine to what extent monetary transmission in these countries is related to financial structure indicators, using an approach similar to that used by Cecchetti [Cecchetti, Stephen G., 1999. Legal structure, financial structure, and the monetary policy transmission mechanism. Federal Reserve Bank of New York Economic Policy Review 5 (2), 9–28] to investigate this issue for eleven old EU member countries. Unlike Cecchetti's results for the old EU member countries, we find little evidence of any link between financial structure indicators and monetary policy for these ten accession countries. Journal of Comparative Economics34 (1) (2006) 1–23.

On 1 May 2004, Cyprus, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, the Slovak Republic, and Slovenia joined the European Union (EU). Bulgaria and Romania are likely to become members of the EU in 2007. After joining, new members must abide by the same EU laws and rules that apply to the old members, i.e., the acquis communautaire. These regulations include the single currency project; hence, the new EU member countries are expected to adopt the euro at some future date. Some countries have already indicated that they want to join the euro area as quickly as possible. Various observers warn that enlargement of the euro area may hamper the policies of the European Central Bank (ECB). According to Guiso et al. (1999), at least three conditions must be met for a common monetary policy to succeed without causing frictions among the members of the monetary union. First, members must agree on the ultimate goals of the common monetary policy; this issue was settled by the Maastricht Treaty and the ensuing ratification process, leading to the adoption of price stability as the primary objective for the ECB. Second, a common monetary policy will be easier to implement if the business cycles of the member countries are aligned and if inflation rates are similar, if not the same, as de Haan et al. (2005) argue. If some countries, or even sizeable regions, in the monetary union do not have reasonably synchronized business cycles or inflation rates, determining the appropriate monetary policy stance is difficult. Clearly, countries in the euro area have different inflation rates and output gaps at times, although some authors argue that monetary and economic integration will lead to more business cycle synchronization.1 Third, the monetary policy transmission mechanism should operate in a similar fashion across the member countries of the monetary union. Differences in the transmission mechanism could make the appropriate size and timing of monetary policy decisions difficult to assess. Moreover, if the burden of adjustment is not shared equally across countries, sizable distributional effects may create political tensions.2 Many authors argue that monetary policy transmission differs substantially across countries in the monetary union in Europe, which may be related to differences in financial structure. Cecchetti (1999) argues that monetary transmission mechanisms vary systematically across eleven (old) EU member countries that are different in the size, concentration, and health of the banking system and that exhibit differences in the availability of primary capital market financing. Estimates of the impact of interest rate changes on output and inflation differ, in the way predicted by the state of the countries' financial systems for these EU member countries, according to Cecchetti's findings.3 The future enlargement of the monetary union will increase the heterogeneity of financial structures in the euro area so that the ECB's monetary policy decisions are likely to have a different impact across the countries in the currency union. Ganev et al. (2002) review the emerging literature on monetary transmission in the accession countries. Our contribution to this literature is an examination of the relationship between monetary transmission and financial structure in the new and future EU member countries in Central and Eastern Europe. In this paper, we present estimates of monetary transmission for these ten accession countries. Following Kim and Roubini (2000), we use structural vector autoregressive models (SVARs) to investigate the impact of interest rate changes on output and inflation.4 The vector autoregressive methodology (VAR) is better suited to analyzing monetary transmission in transition countries than alternative modeling strategies, e.g., small structural models, because its data requirements are less demanding.5 The SVAR approach is better suited to small open economies than are the more traditional identification methods in the VAR literature, e.g., the Cholesky decomposition, because it can capture more of the salient features of these economies. Whereas most previous research refers to only a limited number of accession countries, we study ten transition countries.6 We examine to what extent monetary transmission in these countries is related to financial structure indicators, following an approach similar to that suggested by Cecchetti (1999). We find little evidence of any link between financial structure indicators and monetary policy in these transition economies. The remainder of the paper is organized as follows. Section 2 contains our SVAR models; we discuss the impulse response functions based on these models in Section 3. In Section 4, we present our financial sector indicators and explain the rational for expecting financial-sector differences to affect cross-country differences in monetary transmission. In Section 5, we examine how our monetary transmission statistics are related to our financial sector indicators and include some robustness checks. Section 6 concludes with a summary of our results.

Following an approach similar to the one used by Cecchetti (1999) to investigate the relationship between monetary policy transmission and financial structure in eleven old EU member countries, we examine the same relationship in ten accession countries. Some critics of the common currency argue that the countries currently in the euro area exhibit differences in monetary transmission due to differences in financial structures and that these differences hamper the ECB in realizing its primary objective of price stability. The upcoming enlargement of the currency union by the addition of the accession countries is likely to make these problems more acute. To investigate this issue, we model monetary transmission in ten of these acceding countries using the SVAR methodology, which is an appropriate choice given data availability. By taking monthly data, we try to overcome the problem that data for accession countries are available for only a limited time period. Our SVAR models are based on Kim and Roubini (2000) and are estimated over single policy regimes only in an attempt to minimize the effects of parameter instability that would be likely in estimations over multiple regimes. We find substantial differences in monetary transmission among the ten countries regarding both inflation and output. We group the various indicators for financial structure into three broad categories based on the lending view of monetary policy transmission. We have indicators of the importance of small banks in a country's financial system, indicators of the health of the banking system, and indicators of the importance of alternative sources of external finance. We do not combine the various financial structure indicators into a single indicator due to the subjective and ad hoc nature of such a strategy. Rather, we compute rank correlation coefficients for the estimated impact of monetary policy decisions on each financial structure indicator. In contrast to the results found by Cecchetti (1999) using a combined indicator for financial structure for the old EU member countries, we find no convincing evidence that financial sector indicators are associated with monetary policy shocks in the ten acceding countries. Elbourne and de Haan (2004) investigate monetary transmission in the countries that are currently in the euro area using a similar method and also find no systematic relation between financial structure and monetary transmission. Therefore, we conclude that existing differences in monetary transmission in the current and future euro area are not caused by differences in financial structures across countries.