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Record Nr. |
UNINA9910779331203321 |
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Autore |
Jain-Chandra Sonali |
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Titolo |
The Effectiveness of Monetary Policy Transmission Under Capital Inflows : : Evidence from Asia / / Sonali Jain-Chandra, Filiz Unsal |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2012 |
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ISBN |
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1-4755-1660-6 |
1-4755-7971-3 |
1-283-86686-2 |
1-4755-2195-2 |
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Descrizione fisica |
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1 online resource (20 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/12/265 |
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Altri autori (Persone) |
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Soggetti |
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Monetary policy - Asia |
Capital movements - Asia |
Banks and Banking |
Exports and Imports |
Interest Rates: Determination, Term Structure, and Effects |
Monetary Policy |
Open Economy Macroeconomics |
International Investment |
Long-term Capital Movements |
Finance |
Banking |
International economics |
Long term interest rates |
Yield curve |
Central bank policy rate |
Short term interest rates |
Capital inflows |
Financial services |
Balance of payments |
Interest rates |
Capital movements |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 Maturity 6. 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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Sommario/riassunto |
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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. |
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