arxiv: 2605.14575 · v1 · submitted 2026-05-14 · 💰 econ.GN · q-fin.EC· stat.ME

Recognition: no theorem link

The Asset Price Channel of Monetary Policy: Evidence from Regional Stock-Market Developments in the Successor States of Former Yugoslavia

Stefan Tanevski

Authors on Pith no claims yet

Pith reviewed 2026-05-15 00:45 UTC · model grok-4.3

classification 💰 econ.GN q-fin.ECstat.ME

keywords asset price channelmonetary policystock market indicesformer Yugoslaviapanel VARpooled mean groupsectoral transmission

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The pith

Monetary policy transmits through stock prices in finance and telecom sectors across former Yugoslav states but not in manufacturing or electricity.

A machine-rendered reading of the paper's core claim, the machinery that carries it, and where it could break.

The paper tests for a sectoral asset price channel of monetary policy in the six successor states of former Yugoslavia. It builds regional stock indices for finance, telecom, manufacturing, and electricity sectors, then applies a panel vector autoregressive model to trace responses to monetary policy shocks and uses pooled mean group estimation to separate long-run and short-run effects. Evidence emerges for the channel in finance and telecom, linked to multinational corporate networks, while the channel is absent in manufacturing and electricity, consistent with fragmented local markets.

Core claim

The study documents the presence of the asset price channel of monetary policy in the finance and telecom sectors of the region, likely driven by established multinational corporate networks fostering sub-market regionalization, while finding no such channel for the manufacturing and electricity sectors.

What carries the argument

Constructed regional sectoral stock indices examined with panel vector autoregressive models for impulse responses to monetary policy innovations and pooled mean group estimation to distinguish short-run from long-run relationships.

If this is right

Monetary policy rate changes should move finance and telecom stock indices in the expected direction if the channel is active.
Manufacturing and electricity sectors should show weaker or absent stock price responses to the same policy shocks.
Fragmentation in local markets for some sectors leaves room for efficiency gains from greater regional stock exchange cooperation.

Where Pith is reading between the lines

These are editorial extensions of the paper, not claims the author makes directly.

The pattern may recur in other post-transition regions where multinational firms create cross-border linkages in certain industries.
Targeted data improvements on cross-listings could allow future tests of whether deeper regional integration strengthens the channel.
Central banks in the area might weigh sector-specific asset price effects when calibrating policy tools.

Load-bearing premise

The regional sectoral indices and panel VAR plus PMG models can isolate the asset price channel effects without significant identification problems, omitted variables, or data fragmentation that would invalidate the sector-specific results.

What would settle it

Observing that monetary policy shocks produce no differential or statistically significant responses across the finance, telecom, manufacturing, and electricity sectoral indices would falsify the claim of a sector-specific asset price channel.

read the original abstract

The aim of this study is to empirically investigate the existence of a sectoral asset price channel of monetary policy in the region of the six republics of former Yugoslavia. The study constructs sectoral indices for the entire region, building on the idea that one regional stock exchange may provide more efficiency for the listed companies in the region, while monetary policy relevance for it may be sector-specific. We employ panel vector autoregressive model to observe impulse responses of sectoral indices to innovations in monetary policy, while then disentangle the long- from the short-run relationships per index through a Pooled Mean Group estimation. Overall, we document presence of the asset price channel in the finance and telecom sectors, likely driven by the established multinational corporate networks fostering sub-market regionalization. Yet, this is not the case for the manufacturing and electricity sectors, which may imply that local stock markets are yet too fragmented and space for a more efficient regional stock market, either in the true sense of the word or, more realistically, though enhanced regional cooperation of the stock exchanges certainly exists.

Editorial analysis

A structured set of objections, weighed in public.

Desk editor's note, referee report, simulated authors' rebuttal, and a circularity audit. Tearing a paper down is the easy half of reading it; the pith above is the substance, this is the friction.

Desk Editor's Note private letter to a colleague

The abstract applies standard panel VAR and PMG methods to new regional sectoral stock indices from the former Yugoslav states and reports an asset-price channel only in finance and telecom, but the lack of any implementation details makes the claim impossible to evaluate.

read the letter

The paper's main result is that monetary policy transmits through stock prices in the finance and telecom sectors across the six successor states, but not in manufacturing or electricity. It reaches this by constructing regional sectoral indices and estimating a panel VAR for impulse responses, then using pooled mean group methods to separate short-run from long-run effects. The abstract ties the positive findings to multinational corporate networks and suggests room for better regional stock-market cooperation where those networks exist. What is actually new is the geographic scope and the sector split; prior work on the asset-price channel has not covered this group of countries in this way. The regional-index idea is a reasonable response to thin individual markets, and the short-versus-long-run distinction adds a bit of structure that simple VARs often skip. The discussion of potential efficiency gains from regional cooperation also fits the institutional setting without overclaiming. The central problem is that we have only the abstract. There is no information on data sources, index construction, how monetary-policy innovations are identified in the multi-country panel, sample length, or any robustness checks. Without those pieces it is impossible to judge whether the sector differences reflect real transmission or data fragmentation, cross-listing issues, or weak identification. The multinational-network interpretation also sits on top of the results without additional evidence. This work would mainly interest people who follow monetary policy transmission in small post-transition economies in Southeast Europe. A broader macro audience would see it as too narrow and under-specified to be useful. Given that the key assumptions and results cannot be checked, I would not send it to referees in its current form. The authors need to supply the full specifications, diagnostics, and data description first.

Referee Report

1 major / 2 minor

Summary. The manuscript investigates the existence of a sectoral asset price channel of monetary policy in the six successor states of the former Yugoslavia. It constructs regional sectoral stock market indices and employs a panel vector autoregressive (VAR) model to examine impulse responses to monetary policy innovations, followed by Pooled Mean Group (PMG) estimation to distinguish long-run and short-run relationships. The key finding is that the asset price channel is present in the finance and telecom sectors but absent in manufacturing and electricity sectors, attributed to multinational corporate networks and regional fragmentation.

Significance. If the empirical results hold after rigorous identification and robustness checks, this would provide novel evidence on heterogeneous monetary policy transmission through asset prices in a post-conflict regional setting, highlighting the role of corporate networks in facilitating regional integration of stock markets. The abstract-only access, however, prevents verification of data construction, shock identification, or robustness, limiting the ability to assess the strength of this potential contribution.

major comments (1)

[Abstract] Abstract: The central claim of sector-specific presence of the asset price channel (finance/telecom vs. manufacturing/electricity) rests on impulse responses from the panel VAR and subsequent PMG estimates. No details are provided on the construction of the regional sectoral indices, the identification of monetary policy innovations in the multi-country panel (e.g., ordering, restrictions, or external instruments), lag selection, or controls for omitted regional/global factors, all of which are load-bearing for validating the differential responses and ruling out aggregation or identification bias.

minor comments (2)

[Abstract] Abstract: The phrasing 'while then disentangle the long- from the short-run relationships per index through a Pooled Mean Group estimation' is grammatically awkward; revise to 'and then disentangle...' for clarity.
[Abstract] Abstract: The final sentence contains a typographical error ('though enhanced' should be 'through enhanced').

Simulated Author's Rebuttal

1 responses · 1 unresolved

We thank the referee for their review and for identifying the need for greater methodological transparency. We respond to the major comment below and will revise the manuscript to address it where possible.

read point-by-point responses

Referee: [Abstract] Abstract: The central claim of sector-specific presence of the asset price channel (finance/telecom vs. manufacturing/electricity) rests on impulse responses from the panel VAR and subsequent PMG estimates. No details are provided on the construction of the regional sectoral indices, the identification of monetary policy innovations in the multi-country panel (e.g., ordering, restrictions, or external instruments), lag selection, or controls for omitted regional/global factors, all of which are load-bearing for validating the differential responses and ruling out aggregation or identification bias.

Authors: We agree that the abstract lacks these specifics, which limits assessment of the results. The available manuscript text describes the overall approach (panel VAR for impulse responses to monetary policy innovations and PMG estimation to separate long-run and short-run effects) but does not detail index construction, shock identification strategy, lag selection, or controls for regional/global factors. We will revise the abstract and main text to include concise descriptions of these elements in the next version. revision: yes

standing simulated objections not resolved

Exact details on regional sectoral index construction, monetary policy shock identification (including ordering, restrictions, or instruments), lag selection criteria, and specific controls for omitted regional or global factors, as these are not described in the provided manuscript.

Circularity Check

0 steps flagged

No circularity: empirical exercise relies on data-driven impulse responses and PMG estimates without self-referential reductions

full rationale

The paper's chain consists of constructing regional sectoral stock indices, estimating a panel VAR for impulse responses to monetary-policy innovations, and applying PMG to separate long-run from short-run relations. These steps are standard econometric procedures whose outputs (sector-specific responses) are not equivalent to the inputs by construction, nor do they invoke self-citations, uniqueness theorems, or ansatzes that smuggle in the target result. No equations are shown that rename fitted parameters as predictions or define the asset-price channel in terms of itself. The abstract-only text supplies no load-bearing self-referential steps, so the derivation remains self-contained against external data benchmarks.

Axiom & Free-Parameter Ledger

0 free parameters · 0 axioms · 0 invented entities

Abstract-only review supplies no information on free parameters, background axioms, or invented entities; the study relies on standard econometric techniques whose identifying assumptions are not stated here.

pith-pipeline@v0.9.0 · 5460 in / 1124 out tokens · 33723 ms · 2026-05-15T00:45:06.826582+00:00 · methodology