The effectiveness of monetary policy transmission under capital inflows : evidence from Asia

Sonali Jain-Chandra and D. Filiz Unsal

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging Asia's economies. Using a dynamic factor model and a structural vector auto-regression model, we show that long-term interest rates in Asia are indeed predominantly driven by global factors. However, monetary policy transmission mechanism remains effective in the region, as it operates predominantly through s

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Year of publication:	2012
Authors:	Jain Chandra, Sonali ; Unsal, D. Filiz
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Geldpolitik \| Monetary policy \| Geldpolitische Transmission \| Monetary transmission \| Kapitalimport \| Capital imports \| Asien \| Asia

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Extent:	Online-Ressource graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/265 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover; Contents; I. Introduction; II. Methodological Considerations; A. Generalized Dynamic Factor Model; Figures; 1. Secondary Market Yield of 10-Year Government Bond; B. Structural Vector Autoregression; III. Are Local Bond Yields in Asia Driven by External or Domestic Factors?--Empirical Results; 2. The Estimated Common Factor and U.S. 10-Year Bond Yield and the VIX; 3. Contributions of U.S. 10-Year Yield and VIX to Estimated Common Factor; 4. Variance Decomposition of Domestic 10-Year Yield by Sources During 2005-10 5. Contribution of U.S. Long-Term Interest Rates to Variance of Domestic Yields by Maturity6. Importance of U.S. Interest Rate and Capital Account Openness; IV. Which Interest Rates Matter More for Monetary Transmission Mechanism?; 7. Variance Decomposition of Industrial Production in Response to Shocks to Domestic Interest Rates; V. The Monetary Transmission Mechanism Under Large Capital Flows; 8. Short-Term Corporate Debt; VI. Conclusion; 9. Effect of Capital Flows on Monetary Transmission Mechanism; References Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-2582-3 ; 978-1-4755-2582-3
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009679028