The effectiveness of monetary policy transmission under capital inflows :: evidence from Asia /
"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...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/265. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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 short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows"--Abstract |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed November 5, 2012). "Asia and Pacific Department"--Page 2 of pdf "November 2012"--Page 2 of pdf |
| Beschreibung: | 1 online resource (19 pages) : color illustrations |
| Bibliographie: | Includes bibliographical references (pages 16-18). |
| ISBN: | 9781475521955 1475521952 9781475525823 1475525826 9781475579710 1475579713 |
Internformat
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| 500 | |a "November 2012"--Page 2 of pdf | ||
| 520 | |a "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 short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows"--Abstract | ||
| 504 | |a Includes bibliographical references (pages 16-18). | ||
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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. | |
| 650 | 0 | |a Transmission mechanism (Monetary policy) |z Asia. | |
| 650 | 0 | |a Capital movements |z Asia. | |
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| author | Jain-Chandra, Sonali, 1975- Unsal, D. Filiz |
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| contents | 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. |
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| indexdate | 2024-11-26T14:49:07Z |
| institution | BVB |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Jain-Chandra, Sonali, 1975- author. http://id.loc.gov/authorities/names/no2005024629 The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / Sonali Jain-Chandra and D. Filiz Unsal. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (19 pages) : color illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 data file IMF working paper ; WP/12/265 Title from PDF title page (IMF Web site, viewed November 5, 2012). "Asia and Pacific Department"--Page 2 of pdf "November 2012"--Page 2 of pdf "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 short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows"--Abstract Includes bibliographical references (pages 16-18). 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. Transmission mechanism (Monetary policy) Asia. Capital movements Asia. Mécanismes de transmission (Politique monétaire) Asie. Mouvements de capitaux Asie. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Transmission mechanism (Monetary policy) fast Asia fast https://id.oclc.org/worldcat/entity/E39PBJxMpyjKQ9Jtm3jkjPBgKd Unsal, D. Filiz, author. International Monetary Fund. Asia and Pacific Department, issuing body. http://id.loc.gov/authorities/names/no97006778 has work: The effectiveness of monetary policy transmission under capital inflows (Text) https://id.oclc.org/worldcat/entity/E39PCFWFpX7PJMGkRFG7XdBMfq https://id.oclc.org/worldcat/ontology/hasWork IMF working paper ; WP/12/265. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=516446 Volltext |
| spellingShingle | Jain-Chandra, Sonali, 1975- Unsal, D. Filiz The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / IMF working paper ; 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. Transmission mechanism (Monetary policy) Asia. Capital movements Asia. Mécanismes de transmission (Politique monétaire) Asie. Mouvements de capitaux Asie. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Transmission mechanism (Monetary policy) fast |
| title | The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / |
| title_auth | The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / |
| title_exact_search | The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / |
| title_full | The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / Sonali Jain-Chandra and D. Filiz Unsal. |
| title_fullStr | The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / Sonali Jain-Chandra and D. Filiz Unsal. |
| title_full_unstemmed | The effectiveness of monetary policy transmission under capital inflows : evidence from Asia / Sonali Jain-Chandra and D. Filiz Unsal. |
| title_short | The effectiveness of monetary policy transmission under capital inflows : |
| title_sort | effectiveness of monetary policy transmission under capital inflows evidence from asia |
| title_sub | evidence from Asia / |
| topic | Transmission mechanism (Monetary policy) Asia. Capital movements Asia. Mécanismes de transmission (Politique monétaire) Asie. Mouvements de capitaux Asie. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Transmission mechanism (Monetary policy) fast |
| topic_facet | Transmission mechanism (Monetary policy) Asia. Capital movements Asia. Mécanismes de transmission (Politique monétaire) Asie. Mouvements de capitaux Asie. BUSINESS & ECONOMICS Finance. Capital movements Transmission mechanism (Monetary policy) Asia |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=516446 |
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