05364oam 22011054 450 991077933120332120230802005648.01-4755-1660-61-4755-7971-31-283-86686-21-4755-2195-2(CKB)2550000000709421(EBL)1607049(SSID)ssj0000949400(PQKBManifestationID)11512177(PQKBTitleCode)TC0000949400(PQKBWorkID)10996017(PQKB)11511453(MiAaPQ)EBC1607049(Au-PeEL)EBL1607049(CaPaEBR)ebr10635337(CaONFJC)MIL417936(OCoLC)870245014(IMF)WPIEE2012265(IMF)WPIEA2012265(EXLCZ)99255000000070942120020129d2012 uf 0engurcn|||||||||txtccrThe Effectiveness of Monetary Policy Transmission Under Capital Inflows : Evidence from Asia /Sonali Jain-Chandra, Filiz UnsalWashington, D.C. :International Monetary Fund,2012.1 online resource (20 p.)IMF Working PapersIMF working paper ;WP/12/265Description based upon print version of record.1-4755-2582-6 Includes bibliographical references.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 2005-105. 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; ReferencesThe 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.IMF Working Papers; Working Paper ;No. 2012/265Monetary policyAsiaCapital movementsAsiaBanks and BankingimfExports and ImportsimfInterest Rates: Determination, Term Structure, and EffectsimfMonetary PolicyimfOpen Economy MacroeconomicsimfInternational InvestmentimfLong-term Capital MovementsimfFinanceimfBankingimfInternational economicsimfLong term interest ratesimfYield curveimfCentral bank policy rateimfShort term interest ratesimfCapital inflowsimfFinancial servicesimfBalance of paymentsimfInterest ratesimfCapital movementsimfUnited StatesimfMonetary policyCapital movementsBanks and BankingExports and ImportsInterest Rates: Determination, Term Structure, and EffectsMonetary PolicyOpen Economy MacroeconomicsInternational InvestmentLong-term Capital MovementsFinanceBankingInternational economicsLong term interest ratesYield curveCentral bank policy rateShort term interest ratesCapital inflowsFinancial servicesBalance of paymentsInterest ratesCapital movementsJain-Chandra Sonali1552511Unsal Filiz1476615International Monetary Fund.DcWaIMFBOOK9910779331203321The Effectiveness of Monetary Policy Transmission Under Capital Inflows3824722UNINA