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The Effectiveness of Monetary Policy Transmission Under Capital Inflows : : Evidence from Asia / / Sonali Jain-Chandra, Filiz Unsal



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Autore: Jain-Chandra Sonali Visualizza persona
Titolo: The Effectiveness of Monetary Policy Transmission Under Capital Inflows : : Evidence from Asia / / Sonali Jain-Chandra, Filiz Unsal Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica: 1 online resource (20 p.)
Soggetto topico: 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
Soggetto geografico: United States
Altri autori: UnsalFiliz  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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
Sommario/riassunto: 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.
Titolo autorizzato: The Effectiveness of Monetary Policy Transmission Under Capital Inflows  Visualizza cluster
ISBN: 1-4755-1660-6
1-4755-7971-3
1-283-86686-2
1-4755-2195-2
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910779331203321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2012/265