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Nyiranshuti, Claudette. "Monetary policy transmission mechanism in Rwanda: review of the bank lending channel post 1994." Thesis, Nelson Mandela Metropolitan University, 2014. http://hdl.handle.net/10948/3923.
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This research attempts to empirically examine the bank-lending channel in monetary policy transmission in Rwanda, using quarterly data for the period 1996Q1 to 2011Q4. The responses of the loans supply, real output, prices, and deposits to monetary policy innovations were investigated in this research, using impulse response functions and variance decompositions obtained from a Vector Autoregressive model (VAR). Estimation results revealed that the bank lending channel in Rwanda is less effective. The findings suggest that although monetary policies working through interest rates have a significant effect on bank loans, loans appear to not influence the real output level. As in other developing economies, the financial sector in Rwanda is still weak. As a result of the absence of long- term investment, bank customers bear the risk associated with the poor quality of loans in addition to the risk associated with high and variable inflation. These are likely to hamper the monetary policy transmission mechanism.
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Liu, Xiaonan, and 刘晓楠. "Monetary transmission mechanism in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B46503936.
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Ozdogan, Zeliha. "Monetary Transmission Mechanism in Turkey." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 161 p, 2009. http://proquest.umi.com/pqdweb?did=1694575211&sid=6&Fmt=2&clientId=8331&RQT=309&VName=PQD.
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Moschitz, Julius. "Essays on the Transmission Mechanism of Monetary Policy." Doctoral thesis, Universitat Autònoma de Barcelona, 2004. http://hdl.handle.net/10803/4058.
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Esta tesis estudia los efectos y la eficacia de la política monetaria. A grandes rasgos, el banco central cambia los tipos de interés a corto plazo y, a través de la estructura temporal, también se ven afectados los tipos de interés a largo plazo. Los tipos a largo plazo son una variable importante para las decisiones de inversión de las empresas y de ahorro de los hogares. Estas decisiones afectan tanto la producción como los precios y, como consecuencia, los objetivos finales del banco central -por ejemplo, la estabilidad de los precios-. Esta tesis examina detalladamente algunos temas relacionados con la descripción anterior de los mecanismos de transmisión de la política monetaria que hasta ahora no se han estudiado en profundidad.El primer capítulo del documento contiene la introducción. El segundo analiza la transmisión de la política monetaria en economías abiertas teniendo en cuenta que la apertura de una economía es especialmente relevante para los países europeos. En este mismo capítulo se estudian los efectos dinámicos de una acción imprevista del banco central para varios países europeos. Los cambios de estos efectos se estudian mediante una serie de contrastes de estabilidad y la estimación de las fechas de cambio de los parámetros.
El tercer capítulo se centra en los determinantes de los tipos de interés a corto plazo. La mayoría de los modelos monetarios asumen que el banco central controla perfectamente estos tipos. No obstante, en la práctica, este control no es nada perfecto. Los mercados determinan los tipos de interés pero el banco central ejerce una fuerte influencia en la oferta de reservas. Por ello, se diseña un modelo de decisión intertemporal para el mercado de reservas y se incluyen todos los aspectos institucionales importantes para el mercado de reservas de la zona euro. Entonces, se estima el modelo con datos de esta zona. La mayoría de los patrones predecibles en la media y en la volatilidad de los tipos de interés a corto plazo están relacionados con la implementación de la política monetaria. También se observa que los bancos reaccionan de manera retardada a las nuevas informaciones. Así, se estudian las implicaciones de la eficiencia del mercado, endogeneidad de la oferta de reservas y el underbidding.
La cuarta y última parte de la tesis se centra en los efectos de la implementación de la política monetaria en los mercados de dinero de la zona euro. Más exactamente, se analiza la volatilidad de los tipos de interés con varios vencimientos y la transmisión de la volatilidad de los tipos de corto a largo plazo. Estos análisis concluyen que la manera en la que se aplica la política monetaria acaba afectando a la volatilidad de la mayoría de los tipos de los mercados de dinero salvo los tipos de un año. Se puede observar claramente que estos efectos son mucho más fuertes para los tipos a corto plazo. No obstante, las decisiones de inversión de las empresas como las de ahorro de los hogares dependen mayoritariamente de los tipos a largo plazo. De ello se desprende que los procedimientos que se utilizan en la actualidad aplican de una manera muy eficaz las decisiones de política monetaria sin tener ninguna repercusión en la economía real. Asimismo, se han encontrado algunos efectos en los días del calendario, una curva de volatilidad en forma de U y un apoyo consistente a para la hipótesis de expectativas.
This thesis studies the effects and effectiveness of monetary policy. In a stylized way, the central bank changes the short-term interest rate and, via the term structure, long-term interest rates are affected. Long-term rates are the relevant variables for firms' investment and households' saving decisions, which influence output and prices and, as a consequence, the final objectives of a central bank, e.g. price stability. This thesis looks carefully at some particular, and widely overlooked, issues along the above described transmission mechanism of monetary policy.
The first chapter contains the introduction. The second chapter analyses the transmission of monetary policy in open economies. Taking into account the openness of an economy is especially important for European countries. The dynamic effects of an unexpected monetary policy action for several European countries are studied. Changes over time are investigated by using a range of stability tests and estimating break dates.
The third chapter looks at the determinants of the short-term interest rate. Most monetary models assume that the central bank perfectly controls this interest rate. However, this control is far from perfect in practice. Interest rates are determined on markets, with the central bank having a strong influence on the supply of reserves. The intertemporal decision problems in the reserve market for both central and commercial banks are modeled. All important institutional features of the euro area reserve market are included. The model is then estimated with euro area data. Most of the predictable patterns for the mean and volatility of the short-term interest rate are related to monetary policy implementation. Banks react sluggish to new information. Implications for market efficiency, endogeneity of reserve supply and underbidding are studied.
Chapter four studies the effects of monetary policy implementation on the euro area money market. In particular, volatility of interest rates with various maturities and volatility transmission along the yield curve is analyzed. It is found that the way how monetary policy is implemented affects volatility of most money market rates, except the twelve-month rate. These effects are strongest at the short end of the yield curve. Notwithstanding, firms' investment and households' consumption decisions depend mostly on longer term rates, which indicates that the operating procedures in place implement monetary policy decisions very efficiently, without inducing real costs on the economy. Furthermore, some calendar day effects, a U-shaped volatility curve and strong evidence in favour of the expectation hypothesis are documented.
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Giuliodori, Massimo. "Essays on the transmission mechanism of monetary policy." Thesis, University of Glasgow, 2003. http://theses.gla.ac.uk/1562/.
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Chapter 1: The monetary version of the sticky price intertemporal model of Obstfeld and Rogoff (1995, 1996), in which unexpected and expansive monetary shocks unambiguously generate a permanent nominal exchange rate depreciation and a temporary current account surplus, is outlined. After discussing some extensions of the basic model and verifying the lack of robustness of the main theoretical predictions to the introduction of alternative assumptions, the chapter provides an empirical investigation of the role of nominal disturbances for current account and real exchange rate fluctuations within a structural VAR approach for 15 OECD countries over the period 1979-1998, using the long-run restriction identification scheme suggested by Clarida and Gali (1994). The main empirical findings suggest that nominal shocks tend to have a significant role in generating temporary current account surpluses and that these effects are proportional to the degree of openness of the country. Chapter 2: Housing systems, as a major sector of industrialised economies, might have profound effects on the transmission mechanism of monetary shock. Despite a progressive convergence, however, EU countries still differ significantly in their housing and credit market institutions. This chapter provides a theoretical discussion of the ‘housing market’ channels of the monetary transmission mechanism (MTM) and offers some evidence on institutional differences across EU countries. Using recursive and semi-structural VARs, the role of house prices in the MTM is then assessed in eight European countries over the pre-EMU period. Results show a different degree of sensitivity of house prices, partly consistent with the institutional features of the European housing systems. The importance of these policy-induced changes in house prices to the transmission of monetary shocks to private consumption are then investigated. The chapter provides some support for the view that the house price channel may be an important source of MTM to consumption in those economies where housing and mortgage markets are relatively more developed and competitive. Chapter 3: This chapter extends the existing cross-country housing empirical literature focusing on the main fundamental factors affecting house price dynamics in a number of ways. First, through the implementation of seemingly unrelated regression (SUR) techniques and heterogeneous panel estimation methods, it is shown that European house prices are asymmetrically affected by real and financial variables. Subsequently, using a recent dataset, which collects quarterly information on housing and mortgage markets of EU countries, separate house price equations are estimated within an unrestricted error correction mechanism (ECM) approach for eleven European economies over the period 1980-2001. Results show that European house prices are driven by similar factors, but that their relative importance differs very significantly across countries. In particular, while real income is this single most important determinant of real house prices, financial effects play a relatively more important role in those countries that experienced a higher degree of financial liberalisation.
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Kganetsano, Tshokologo A. "The transmission mechanism of monetary policy in Botswana." Thesis, Loughborough University, 2007. https://dspace.lboro.ac.uk/2134/7988.
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Macroeconomic stability is one of the most important national objectives in any country. However, economies are often subjected to a number of shocks (internal and external), which can be destabilising, produce volatility and make it difficult to achieve and maintain economic stability. Consequently, various policies are used to help deal with the various shocks that may affect the economy. Of all the available policies, monetary policy appears to have been ever more at the centre of macroeconomic policymaking. Meanwhile, for monetary policy to be effective, there is a need for a better understanding of the transmission mechanism, i.e., the process through which monetary policy decisions are transmitted into changes in real output and inflation. Whereas extensive research on the transmission mechanism has been conducted in developed countries, such work in developing countries, especially in Africa is lacking. This could be due to the fact that it was not long time ago, around the 1990s that countries in Africa started adopting the more modem central bank operations in a market-based economic and financial system characterised by indirect monetary policy. Such operations require an understanding of the transmission mechanism. Lack of empirical analysis of the monetary transmission mechanism in Botswana and developing countries of Africa in general, is the main motivating factor behind this thesis. The main objective of this thesis is, therefore, to estimate the transmission mechanism of monetary policy in Botswana. Three different, but complementary techniques (the Narrative Approach, Vector Autoregression (VAR) analysis and the Structural Approach involving the estimation of a small structural model for Botswana economy) are used. Results from these methods tell a consistent story and indicate that monetary policy in Botswana affects real output and inflation through the interest rate channel, while the exchange rate channel is not operational. The credit channel is also active but not strong. The structural approach also indicates that devaluation is contractionary in Botswana, but more research is necessary before firmer conclusions could be made.
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Kamati, Reinhold. "Monetary policy transmission mechanism and interest rate spreads." Thesis, University of Glasgow, 2014. http://theses.gla.ac.uk/5883/.
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In contemporary times, monetary policy is evaluated by examining monetary policy shocks represented by changes in nominal interest rates rather than changes in the money supply. In this thesis, we studied three interrelated concepts: the monetary policy transmission mechanism, interest rate spreads and the spread adjusted monetary policy rule. Chapter 1 sets out a theoretical background by reviewing the evolution of monetary policy from money growth targeting to the standard approach of interest rate targeting (pegging) in the new consensus. The new consensus perspective models the economy with a system of three equations: the dynamic forward-looking IS-curve for aggregate demand, an inflation expectation-augmented Phillips curve and the interest rate rule. Monetary policy is defined as fixing the nominal interest rate in order to exert influences on macroeconomic outcomes such as output and expected inflation while allowing the money supply to be determined by interest rate and inflation expectations. Having set out this background, Chapter 2 empirically investigates long-standing questions: how does monetary policy (interest rate policy) affect the economy and how effective is it? This chapter seeks to answer these questions by modelling a monetary policy framework using macroeconomics data from Namibia. Using the new consensus macroeconomic view, this empirical analysis starts from the assumption that money is endogenous, and thus it identifies the bank rate (i.e. Namibia’s repo rate) as the policy instrument which starts the monetary transmission mechanism. We estimated a SVAR and derived structural impulse response functions and cumulative impulse response functions, which showed how output, inflation and bank credit responded to structural shocks, specifically the monetary policy and credit shocks in the short run and the long run. We found that in the short run quarterly real GDP, inflation and private credit declined significantly in response to monetary policy shocks in Namibia. Monetary policy shocks as captured by an unsystematic component of changes in the repo rate considerably caused a sharp decrease for more than three quarters ahead after the first impact in quarterly real GDP. Furthermore, structural impulse response functions showed that real GDP and inflation increased in response to one standard deviation in the private credit shock. In the long run, the cumulative impulse response functions showed that inflation declined and remained below the initial level while responses in other variables were statistically insignificant. South African monetary policy shock caused significant negative responses in private; however, the impacts on quarterly GDP were barely statistically significant in the short run. In all, this empirical evidence shows that the monetary policy of changing the level of repo rate is effective in stabilising GDP, inflation rate and private credit in the short run; and in the long run domestic monetary policy significantly stabilises inflation too. The structural forecast error variance decompositions show that the variations of output attributed to interest rate shock show that the interest rate channel is relatively strong compared with the credit channel. This is substantiated by the fact that repo rate shocks account for a large variation in output compared with the variation attributed to private credit shock. We conclude in this chapter that domestic monetary policy through the repo rate is effective, while the effects from the South African policy rate are not emphatically convincing in Namibia. Therefore, the Central Bank should keep independent monetary policy actions in order to achieve the goals of price stability. In Chapter 3 we investigate the subject of ‘interest rate spreads’, which are seen as the transmitting belts of monetary policy effects in the economy. While it is widely acknowledged that the monetary policy transmission mechanism is very important, it is also clear that the successes of monetary policy stabilisation are influenced by the size of spreads in the economy. Interest spreads are double-edged swords, as they amplify and also dampen monetary effects in the economy. Hence, we investigate the unit root process with structural breaks in interest rate spreads, and the macroeconomic and financial fundamentals that seem to explain large changes in spreads in Namibia. Firstly, descriptive statistics show that spreads always exist and gravitate around the mean above zero and that their paths are significantly amplified during crisis periods. Secondly, the Lanne, Saikkonen and Lutkepohl (2002) unit root test for processes with structural breaks shows that spreads have unit root with structural breaks. Most significant endogenous structural breaks identified coincide with the 1998 East Asia financial crisis period, while the global financial crisis only caused a significant structural break in quarterly GDP. Thirdly, using the definitions of the changes in base spread and retail spread, we find that inflation, unconditional inflation, economic growth rate and interest rate volatilities, and changes in the bank rate and risk premium and South Africa’s spread are some of the significant macroeconomic factors that explain changes in interest rate spread in Namibia. Whether we define interest spread as the retail spread, that is, the difference between average lending rate and average deposit rate, or the base spread, which is the difference between prime lending rate and the bank rate, our empirical results indicate that there macroeconomics and financial fundamentals play a statistically significant role in the determination of interest rate spreads. In the last chapter, we estimate the monetary policy rule augmented with spread - the so called Spread-adjusted Taylor Rule (STR). The simple Spread-adjusted Taylor rule is suggested in principle to be used as simple monetary policy strategy that responds to economic or financial shocks, e.g. rising spreads. In an environment of stable prices or weak demand, rising spreads have challenged current new consensus monetary policy strategy. As a result, the monetary policy framework that attaches weight to inflation and output to achieve price stability has been deemed unable to respond sufficiently to financial stress in the face of financial instability. In response to this challenge, the STR explicitly takes into account the spread to address the weakness of the standard monetary policy reaction in the face of financial instability. We apply the Bayesian method to estimate the posterior distributions of parameters in the simple STR. We use theory-based informed priors and empirical Bayesian priors to estimate the posterior means of the STR model. Our results from this empirical estimation show that monetary policy reaction function can be adjusted with credit spread to caution against tight credit conditions and therefore realise the goal of financial stability and price stability simultaneously. The estimated coefficients obtained from the spread-adjusted monetary policy are consistent with the calibrated parameters suggested by (McCulley & Toloui, 2008) and (Curdia & Woodford, 2009). We find that, on average, a higher credit spread is associated with the probability that the policy target will be adjusted downwards by 55 basis points in response to a marginal increase of one per cent in equilibrium spread. This posterior mean is likely to vary between -30 and -79 basis points with 95% credible intervals. Altogether in this chapter we found that a marginal increase in the rate of inflation above the target by one per cent is associated with probability that the repo rate target will be raised by an amount within the range of 42 to 75 basis points, while little can be said about central banks’ reaction to a marginal increase in output.
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Yamashiro, Guy Matsuo. "Disaggregated systems and the monetary transmission mechanism /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026375.
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Chan, Irene. "Three essays on the transmission mechanism of monetary policy." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ35955.pdf.
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Ahmed, Hossam Eldin Mohammed Abdelkader. "Investigating the transmission mechanism of monetary policy in Egypt." Thesis, University of Birmingham, 2013. http://etheses.bham.ac.uk//id/eprint/4287/.
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This thesis investigates the transmission mechanism of monetary policy in Egypt in the last four decades. To achieve this, five empirical studies are included in this thesis. The consumer‟s expenditure is estimated in Chapter 3, while the investment expenditure under uncertainty is estimated in Chapters 4. Furthermore, the results of these two chapters paved the way to the next chapters, the interest rate channel, chapter 5, and the bank lending channel, Chapter 6. Moreover, Chapter 7 devoted to estimate the exchange rate channel under the regime shift. However, Chapter 2 provides all the required discussion about the economic policies and developments in the Egyptian economy for the purpose of this thesis. The time series econometrics is used in all of these chapters. The unit root tests, the Engle-Ganger two-step cointegration approach, the bounds tests, and GARCH models are used in Chapters 3 and 4. However, unit root tests, the VAR models, Granger-causality, the impulse response function, variance decomposition, the Johansen‟s cointegration, and the VECM are used in Chapters 5, 6, and 7. The results of these chapters assert the existence of the channels of monetary transmission mechanism in Egypt between 1975 and 2010.
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Ibn, Boamah Mustapha. "The monetary policy transmission mechanism and inflation control in Ghana." Thesis, Nottingham Trent University, 2009. http://irep.ntu.ac.uk/id/eprint/170/.
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The central bank of Ghana officially adopted an explicit inflating targeting monetary policy in May 2007 following its operational independence in March 2002. This thesis firstly explores the evolution of monetary policy and inflation in Ghana, before characterising the conduct and effectiveness of monetary policy. The thesis uses time series estimations of Taylor-type reactions functions to characterise monetary policy conduct and uses three other approaches to evaluate monetary policy effectiveness. In the first approach the long-run interest rate response to inflation, output gap, and other inflation precursors from estimated reaction functions is compared with Taylor’s reference values. The second method analyses the responsiveness of the policy interest rate to commercial bank retail rates while the third approach investigates the monetary transmission mechanism to the wider economy using variables’ impulse responses to investigate how other important variables that are either the final objective of policy or the conduit through which the final objective of policy is attained, behave in response to monetary policy. The analysis uses a modified cointegration and error correction model that is robust to the stationary properties of the data as well as vector autoregression techniques. The results show monetary policy was largely effective in influencing the savings rate but not quite effective in controlling inflation. An alternative model (McCallum 1995a) that uses monetary aggregates as a policy instrument appears to explain monetary policy in Ghana better. The thesis suggests possible reasons for the non effectiveness of monetary policy and offer policy recommendations for long-term inflation control.
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Tkacz, Gregoire 1971. "Three empirical essays on asymmetries in the monetary policy transmission mechanism." Thesis, McGill University, 1999. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=35952.
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The objective of this dissertation is to ascertain empirically whether there are non-linearities between interest rates and selected macroeconomic variables in the monetary policy transmission mechanism. This is accomplished by using recently-developed econometric techniques to uncover, and model, the non-linearities. We consider relationships between five variables along the path of the transmission mechanism (commercial interest rates, consumption, investment, output growth and inflation changes) and interest rates over which the central monetary authority has significant control (such as a long-short yield spread or a short-term money market rate). Our findings reveal that there is evidence in favor of non-linearities, with expansionary policy having a smaller impact on the key variables than a contractionary policy in the United States. In some instances we are successfully able to capture these non-linearities using either threshold or neural network models.
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Alwani, Shariman M. N. "Evaluating the effectiveness of the monetary transmission mechanism in Malaysia." online access from Digital Dissertation Consortium access full-text, 2006. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3232094.
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Tkacz, Gregoire. "Three empirical essays on asymmetries in the monetary policy transmission mechanism." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0026/NQ50271.pdf.
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GRANDJEAN, YANN ALBERT. "THE WORK INCOME CHANNEL AS A TRANSMISSION MECHANISM OF MONETARY POLICY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2005. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=7376@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORA resposta do nível de atividade a movimentos de política monetária costuma ser caracterizada pela heterogeneidade entre diferentes setores, em termos de intensidade e velocidade de resposta. Em particular, setores produtores de bens duráveis tendem a exibir uma resposta mais intensa e mais rápida, em contraste com uma resposta mais fraca e mais lenta de setores produtores de bens não duráveis. Uma interpretação convencional atribui essa heterogeneidade a uma maior sensibilidade da demanda por bens duráveis às condições de crédito, enquanto a demanda por bens não duráveis dependeria primordialmente da dinâmica da renda do trabalho, que por sua vez tenderia a ser menos volátil e a responder aos estímulos do crédito com alguma defasagem. Há, entretanto, uma séria carência de estudos que isolem e quantifiquem a contribuição da renda do trabalho para a transmissão da política monetária, ao contrário do que ocorre em relação a outros fatos estilizados relacionados ao ciclo econômico. Esta dissertação faz uma tentativa de quantificação mediante técnicas baseadas em vetores auto-regressivos, que permitem construir uma resposta contrafactual da economia a um choque monetário desligando o canal de transmissão que passa pela renda do trabalho. Os primeiros resultados obtidos para a economia norteamericana, com uma amostra que vai de 1980 a 1997, indicam que a transmissão dos choques monetários para os setores produtores de bens não duráveis depende quase integralmente do canal da renda do trabalho, enquanto no caso dos bens duráveis a contribuição desse canal, embora perceptível, não é proporcionalmente tão dominante. Esses resultados, contudo, não são robustos à extensão do período amostral para incluir dados até 2004, que sugere uma substancial perda de importância do canal da renda.
The GDP answer to monetary policy stimulus is characterized by heterogeneity among different sectors, in terms of intensity and duration. Furthermore, durable goods producer tend to present a faster and intense response while the non durable producer use to react with bigger lags and in a softer way. A conventional lecture assign those differences to a more sensitive demand of durable goods to credit conditions as long as the non durables depends primarily on the work income dynamics, which in turn is less volatile and reacts to monetary policy impulses in a sluggish way. However, there is a serious gap of studies that isolate and quantify the work income channel of the monetary policy transmission mechanism, assaying the well known facts related to the economic business cycle. The purpose of this work is to quantify this mechanism using a VAR framework approach, which allows counterfactuals impulse response functions construction turning off the work income channel of monetary policy transmission of a given closed economy. The first results, using US economy quarterly data from 1980 to 1997, shows that the monetary policy transmission to non durable goods sector depends almost exclusively on the work income channel in contrast to the durable goods sector, which depends in a less exclusively way. Nevertheless, the extended exercise corresponding to an extended data, from1980 to 2004 hints a substantial loss of power explanation of the work income channel.
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Sheefeni, Johannes Peyavali Sheefeni. "Monetary policy in Namibia, 1993-2011." Thesis, Nelson Mandela Metropolitan University, 2013. http://hdl.handle.net/10948/3935.
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This thesis investigated the role of monetary policy in Namibia for the period 1993 to 2011. It aims at achieving six objectives. First, it reviews the evolution of monetary policy in Namibia for the period 1980 to 2011. Second, it investigates the interest rate channel of the monetary policy transmission mechanism in Namibia. Third, it analyses the credit channel of the monetary policy transmission mechanism in Namibia. Fourth, it evaluates the exchange rate channel of the monetary policy transmission mechanism in Namibia. Fifth, it studies the money effect model in the context of the monetary policy transmission mechanism in Namibia. Sixth, it examines the exchange rate pass–through (ERPT) to domestic prices in Namibia. In order to achieve the objectives of the relative importance of the different channels of monetary policy transmission, a structural vector autoregressive model of the Namibian economy is constructed. Specifically the responses of the output and prices to monetary policy shocks for Namibia over the quarterly period 1993:Q1 to 2011:Q4 are investigated using impulse response functions and forecast variance error decompositions obtained from a structural vector autoregressive model (SVAR). The thesis also examined the exchange rate pass-through from exchange rate to domestic prices using both SVAR and the single equation error correction model (ECM). Estimation results on the different channels of monetary policy transmission mechanism showed that the interest rate channel and the credit channel are effective in transmitting monetary policy actions. The exchange rate channel is also operative but not effective. The money effect model confirms that inflation in Namibia is not a monetary phenomenon. The results of the pass-through relationship showed that there is an incomplete but high exchange rate pass-through from exchange rate to domestic prices.
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Wibowo, Pungky Purnomo. "Monetary policy transmission mechanism and bank portfolio behaviour: the case of Indonesia." Thesis, University of Birmingham, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.594814.
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This thesis assesses the implications of financial deregulation and financial innovation on the following aspects of monetary policy transmission and bank portfolio behaviour in Indonesia. Chapter 4 investigates monetary policy transmission by employing bank balance sheet (loans, deposits and securities) and main macroeconomic variables (exchange rates, stock market index, output and consumer price index). Furthermore, the chapter investigates empirically, using V AR systems, the existence of each channel in the changing financial environment are evaluated for aggregate data (all banks) and disaggregate data across five groups of banks (foreign banks, private banks, mixed banks, regional banks and state banks) by investigating their impulse responses, variance decompositions and accumulated effects. Our observation covers the period of January 1980 to December 2001. In order to capture the effect of financial deregulation which assumed to bring innovations in monetary policy and the effect of 1997 financial crisis, we divide the whole period into three sub period: Period 1 (1980:01-1988:12) in which captures the first 1983 financial deregulation; Period 2 (1988:01-1996:12) in which covers the second big 1988 financial deregulation; and Period 3 (1997:01-2001:12) which include the 1997 financial crisis. In Chapter 5, we examine the role of Non Performing Loans (NPL) in Indonesian monetary transmission mechanism following the methodology employed in Chapter 4. In general, the results, both in Chapter 4 and 5, indicate that monetary policy contraction is not effective in the short run (three months); In the long run (60 months), money is super-neutral as proposed by Friedman (classical view) for the whole observation; while the results across three periods indicates various results in the short-run. Based on the results in Chapter 4 and 5, we investigate further the way Indonesian monetary transmission operates by examining bank portfolio behaviour across five groups of banks (foreign, mixed, private, regional and state banks) in Chapter 6. This chapter focuses on the effect of monetary policy, third party funds and NPL in affecting Indonesian banks behaviour toward loans and other liquidity assets, such as Certificate Bank Indonesia (SBI) and inter bank call money for impact, interim and total effects. We employ a dynamic mean-variance expected utility approach that enables us to calculate the multiplier responses of the choice items to unit changes in exogenous variables. The multiplier effects involve three kinds effects: impact (current), interim (ensuing periods) and total (cumulative) multipliers. The econometric technique employed in the estimation of this chapter is Full Information Maximum Likelihood (FIML). The findings confirm that monetary policy has the greatest impact effects on the banks' portfolios. In regard to the interim effects, all three factors affect those portfolios. In the long run, however, the variable NPL has the greatest influence. Consequently, it can be suggested that Bank Indonesia has to set prudential regulations on, and introduce some stringent supervision of, the banks to reduce the hindrance to the transmission of its monetary policy.
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Ratsebe, Thobo. "Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33910.
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This study examines the evolution of Botswana's monetary policy transmission mechanism by employing a time-varying parameter model. Botswana provides a good context for assessing the transmission of monetary policy over time, following structural and macroeconomic reforms since 1989. The time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility is employed for quarterly time series data from 1994Q1 to 2018Q4. The study evaluates how the responses of real non-mining output and price levels to the Bank Rate, exchange rate, and credit shocks changed over time. The paper contributes to the literature by capturing the timevarying nature of the underlying structure of the monetary policy and the economy of Botswana. The empirical results indicate that real output, inflation, and exchange rate responses to monetary policy shocks changed over time under the study period, confirming the time-varying nature of monetary policy transmission for Botswana.
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Munyengwa, Tebogo. "Monetary policy transmission mechanism in Botswana: how does the Central Bank policy rate affect the economy?" University of the Western Cape, 2012. http://hdl.handle.net/11394/4587.
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Magister Economicae - MEconThe transmission mechanism of monetary policy has generated a substantial amount of interest in economic research in many countries, with most studies focusing on how a change in monetary policy stance, usually defined as an exogenous shock in a short-term interest rate, affects the economy at a national level, with changes in output, inflation and exchange rates being the key variables under investigation. This study adopts a similar analysis, with the general objective of examining the effectiveness of monetary policy in Botswana. Specifically, this study aims at finding out how the central bank rate affects inflation in Botswana and the duration of its effects on economic variables in Botswana. The study adopts the recursive VAR methodology, using quarterly data from 1995 quarter one to 2009 quarter four. The results show that monetary policy is most effective via the interest rate channel in Botswana, followed by the credit channel and then the exchange rate channel. In addition, the results reflect that the economy reacts to monetary policy actions with a one period lag, with the effect lasting for seven quarters.
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Ozsuca, Ekin Ayse. "Banks And Monetary Policy Transmission Mechanism:an Empirical Analysis For Turkey." Phd thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12615010/index.pdf.
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The purpose of this thesis is to empirically explore the characteristics of the monetary transmission mechanism, with a particular emphasis on the role of banks, in Turkey. By looking at the banking sector at the micro level and exploiting dynamic panel data modeling approaches, the heterogeneity in banks&rsquoresponse in terms of their lending and risk-taking to changes in policy interest rates is analyzed. The first essay is an empirical analysis of the bank lending channel of monetary transmission. In this regard, the lending behavior of banks operating over the period 1988-2009 is examined. Given the changes in the policy stance and developments in the financial system following the 2000-01 crisis, the analysis is further conducted for the two sub-periods: 1988-2001 and 2002 2009, to examine whether there is a change in the functioning of the credit channel. Empirical evidence suggests cross sectional heterogeneity in banks&rsquo
response to monetary policy changes during 1988-2009. Regarding the results of the pre-crisis and post-crisis periods, it is found that an operative bank lending channel existed in 1988-2001, however its impact became much stronger thereafter. Furthermore, there are significant differences in the distributional effects due to bank specific characteristics in the impact of monetary policy on credit supply between the two sub-periods. The second essay investigates the existence of risk-taking channel of monetary policy by using quarterly data over the period 2002-2012. Four alternative risk measures are used in the analysis
three accounting-based risk indicators and a market-based indicator. Our findings show that low levels of interest rates have a positive impact of banks&rsquo
risk-taking behavior for all risk measures. In terms of bank specific characteristics, our results imply that large, liquid and well-capitalized banks are less prone to risk-taking.
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Spencer, Brett. "Credit Market Imperfections, Financial Crisis and the Transmission of Monetary Policy." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/163.
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This paper uses U.S. macroeconomic data drawn from 2001 to 2010 in order to test for the operation of a credit channel of monetary transmission. Using a combination of a VAR and ADL time series frameworks, evidence is found for the impairment of the credit channel during the crisis period relative to the period which preceded it. Evidence is also found against the presence of a "credit crunch" during the crisis, and supporting evidence is found for the existence of a "credit trap." This analysis indicates a significant role for credit market imperfections in the transmission of monetary policy, and holds policy implications for the potential impact of future monetary expansions conducted in the setting of a financial crisis.
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Mazelis, Falk Henry. "The Role of Shadow Banking in the Monetary Transmission Mechanism." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19251.
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Diese Doktorarbeit besteht aus drei Aufsätzen, in welchen die Reaktion von Finanzinstitutionen auf Geldpolitik analysiert wird. In dem ersten Aufsatz finde ich anhand eines Bayesian VAR, dass eine Erhöhung des Leitzinses zu einer zusätzlichen Kreditvergabe in Nichtbanken (NBFI) führt. Banken verleihen wie bereits bekannt weniger. Der Grund für die gegensätzliche Bewegung liegt in der unterschiedliche Art der Finanzierung. Dieser Befund legt nahe, dass die Existenz von NBFI die Volatilität der aggregierten Kreditvergabe zu geldpolitischen Schocks verringern könnte. Zusätzlich bietet die Analyse einen Erklärungsansatz für die Beobachtung, dass sich die Kreditvergabe seit der Finanzkrise stockend entwickelt hat.
Im zweiten Aufsatz knüpfe ich an diese empirische Untersuchung an, indem ich ein theoretisches Modell mit unterschiedlichen Arten von Firmenfinanzierung entwerfe. Haushalte müssen sich zwischen festverzinsichlichen und erfolgsbedingten Sparmöglichkeiten entscheiden. Auf Grundlage des Modells von Bernanke, Gertler und Gilchrist (1999) mikrofundiere ich die Entscheidung über Unternehmensgründung in Form von Eigenkapitalinvestitionen.
Im dritten Aufsatz entwickele ich ein geschätztes DSGE Modell mit Finanzierungsfriktionen, welches in der Lage ist, die empirischen Ergebnisse zu replizieren. Ich untersuche, wie sich die Regulierung von Schattenbanken auf eine Volkswirtschaft am ZLB auswirkt. Konsumvolatilität wird reduziert, wenn Schattenbankenkredite stattdessen von Banken vergeben werden. Alternativ dazu führt die Behandlung von Schattenbanken wie Investment Fonds dazu, dass eine Volkswirtschaft am ZLB eine mildere Rezession und einen schnelleren Austritt erlebt. Der Grund liegt darin, dass ein Nachfrageschock, der die Volkswirtschaft zum ZLB bringt, eine Reaktion hervorruft, die vergleichbar mit geldpolitischen Schocks ist, da am ZLB keine Möglichkeit der Leitzinsverringerung besteht.This thesis consists of three essays that analyze the reaction of financial institutions to monetary policy. In the first essay, I use a Bayesian VAR to show that an increase in the monetary policy rate raises credit intermediation by non-bank financial institutions (NBFI). As is well known, credit intermediation by banks is reduced. The movement in opposite directions is explained by the difference in funding. This finding suggests that the existence of NBFI may decrease aggregate volatility following monetary policy shocks. Following this evidence, I construct a theoretical model that includes different types of funding in the second essay. Households face a savings choice between state contingent (equity) and non-state contingent (debt) assets. I use the financial accelerator model of Bernanke, Gertler and Gilchrist (1999) as a basis and microfound the decision by which new net worth in entrepreneurs is created. A Bayesian estimation suggests a change in the survival rate of entrepreneurs, affecting impulse responses. The analysis suggests that models that use the financial accelerator should include endogenous firm entry if variables regarding household portfolios or shocks directly affecting firm net worth are considered. In the third essay, I develop an estimated monetary DSGE model with funding market frictions that is able to replicate the empirical facts. In a counterfactual exercise I study how the regulation of shadow banks affects an economy at the ZLB. Consumption volatility is reduced when shadow bank assets are directly held by commercial banks. Alternatively, regulating shadow banks like investment funds results in a milder recession during, and a quicker escape from, the ZLB. The reason is that a recessionary demand shock that moves the economy to the ZLB has similar effects to a monetary tightening due to the inability to reduce the policy rate below zero.
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Markidou, Aikaterini. "The transmission mechanism of monetary policy and the bank lending channel : the case of Greece." Thesis, University of Sheffield, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.554220.
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Credit developments carry significant information about both economic and financial activity. First of all, changes in credit provide signals about the availability at and demand for funds supporting (or deterring) investment and spending decisions by the private non-financial sector. This is particularly the case with respect to Greece where bank lending is one of the major sources of financing for firms and households. In addition, up to the present, the Greek banking sector has been scarcely studied due to data limitations. This thesis analyzes the relevance of a bank lending channel (BLC) operating in the monetary transmission process in Greece for the period 1980-2008 by means of two different conceptually methodologies and investigates the credit view of monetary policy. A SV AR approach with a macro-dynamic system attempts to examine the interaction between bank credit and key macroeconomic variables. The outcomes are not in favour of the existence of the BLC in Greece when monetary base is considered as the main monetary policy variable. On the other hand, when interest rate is used to capture the role of monetary policy variable, there is weak evidence that BLC might be present and bank credit to households seems to be more vulnerable compared to bank credit to corporations. The second approach estimates a model within the VECM framework, and which allows disentangling of loan supply and loan demand side effects of monetary policy moves. By using the Johansen approach, two cointegrating vectors are detected, which are tentatively identified as a long-run loan demand equation, and a long-run loan supply equation, respectively. Nevertheless, the upshots of the short-run dynamics cannot firmly indicate whether interest rate spread is a critical determinant of loan supply in Greece. Moreover, the credit market assumed to be demand driven where only demand side effects contribute substantially to the impact of monetary policy actions, implying the nonexistence of the BLC for the case of Greece.
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Silva, António Jorge Esteves da. "The monetary transmission mechanism in the Euro Area : has it changed with the EMU?" Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/6904.
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Mestrado em Economia Monetária e FinanceiraWe study whether the adoption of the euro and a single monetary policy have brought about a change in the monetary transmission mechanism and in the interactions of monetary policy, fiscal policy and financial stress in the euro area. We find that the stylized facts of monetary transmission remain valid but the response of output and, mainly, the fiscal and financial stress variables to a monetary policy shock seem to be stronger in the post-EMU period. These changes may signal a higher degree of synchronization of the euro area countries’ economies after the adoption of the euro. Regarding fiscal and financial stress shocks, the inclusion in the post-EMU period of the subprime and sovereign debt crises yields changes not only in the scale but also in the patterns of the responses of our model’s main variables. Overall, we conclude that the subprime and sovereign debt crises have contributed markedly to the post-EMU impulse response functions and, if those periods of financial turbulence are excluded, the responses of the macro variables to monetary, fiscal and financial stress shocks in the post-EMU period are of a remarkably small magnitude.
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Mohamed, Azali. "The monetary policy transmission mechanism : the Malaysian experience during the pre-liberalisation and post-liberalisation periods." Thesis, Cardiff University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.326023.
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Atchariyachanvanich, Waranya. "VAR Analysis of Monetary Policy Transmission Mechanisms : Empirical Study on Five Asian Countries after the Asian Crisis." Graduate School of International Development. Nagoya University, 2004. http://hdl.handle.net/2237/6256.
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Gu, Dapeng. "External imbalances and international transmission mechanisms." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609763.
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Vera, David. "Essays on the monetary transmission mechanism, changes in the United States banking system and small business lending." Diss., Connected to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2005. http://wwwlib.umi.com/cr/ucsd/fullcit?p3179190.
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Thesis (Ph. D.)--University of California, San Diego, 2005.Title from first page of PDF file (viewed February 28, 2006). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references.
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Nöckel, Matthias [Verfasser], and Christian [Akademischer Betreuer] Bauer. "Monetary Policy During Times of Crisis - Frictions and Non-Linearities in the Transmission Mechanism / Matthias Nöckel ; Betreuer: Christian Bauer." Trier : Universität Trier, 2017. http://d-nb.info/119770339X/34.
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Moleka, Elvis Musango. "Inflation dynamics and its effects on monetary policy rules." Thesis, University of Bath, 2015. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687344.
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This thesis examines dynamic relationships between inflation and monetary policy in a sample of African economies using quarterly data over the period 1980:01 to 2012:04. The literature on inflation dynamics and monetary policy focuses on developed economies, with little attention devoted to the African economies, which is potentially explained by the fact that in the past monetary policy played second fiddle because of fiscal policy dominance following episodes of high inflation and stabilization policies that occurred in the 1980's. This thesis fills an important gap in assessing African's monetary policy. The thesis predominantly uses the Vector-Autoregression (VAR) framework to examine the monetary policy frameworks of the African economies. The thesis finds that an interest rate shock on average explain a more significant proportion of the variance in the output gap and inflation than the exchange rate, in terms of analysing the decomposition of shocks to the economy. This shows a shift in the monetary policy focus away from exchange rate management to interest rate targeting as the African economies have become more market oriented. The monetary policy reveal strong asymmetric responses with respect to the macroeconomic variables when inflation exceeds its threshold value. The analysis suggests that monetary policy in the African economies is regime-dependent, propagated through the inflation thresholds, such that the authorities strongly implement policy changes when inflation goes beyond a certain threshold. The thesis reveals that by taking into account the prior belief of the monetary authorities, it helps produce better estimates of the performance of the monetary policy transmission mechanism, as it combines prior information with the sampling information which is contained in the data. The overall novelty of the thesis is that some African economies are adopting inflation targeting policies instead of exchange rate management. It is imperative that the subsequent inflation targeting frameworks will achieve monetary policy objectives for the African economies and the use of interest rate management should be continued.
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Tahir, Muhammad Naveed. "Essays on Inflation Dynamics and Monetary Policy in a Globalized World." Thesis, Lyon 2, 2012. http://www.theses.fr/2012LYO22025/document.
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L’objectif de cette thèse est d’analyser l’effet de la globalisation sur la dynamique de l’inflation et sur la politique monétaire dans un monde de globalisation. Cette thèse porte 3 chapitres :Dans le premier chapitre, nous nous intéressons à l’impact de la globalisation financière sur le comportement du ciblage d’inflation dans les pays émergents, avec une attention particulière portée au taux de change : la Banque centrale répond-elle aux mouvements du taux de change ? Nous nous sommes basés sur des données trimestrielles de six pays émergents qui pratiquent la politique de ciblage d’inflation, depuis la date de l’adoption de cette dernière, jusqu’au dernier trimestre 2009 (2009 Q4). L’étude se base sur un modèle de petite économie ouverte néo-Keynésien à la Gali et Monacelli (2005). Nous utilisons un estimateur GMM à équations multiples pour analyser la relation. Les résultats nous montrent que la réponse de la Banque Centrale au taux de change est statistiquement significatif dans le cas du Brésil, du Chili, du Mexique et de la Thaïlande. En revanche, elle ne l’est pas pour la Corée ni pour la République Tchèque. Théoriquement, le résultat ne devrait pas être significatif même avec un ciblage d’inflation flexible où la banque centrale répond aux écarts d’inflation et de production.Nous pensons que les caractéristiques particulières des pays émergents, telles que la peur du flottement “fear of floating”, le manque de développement du système financier ainsi qu’un manque de crédibilité de la banque centrale, expliquent cette préoccupation des banque centrales pour les variations de change. Dans le deuxième chapitre, nous étudions d’une façon empirique l’importance relative des canaux de transmission de la politique monétaire pour le Brésil, le Chili et la Corée. Cette partie se base sur des données mensuelles depuis l’adoption du ciblage d’inflation jusqu’à décembre 2009 (2009 M12). Nous utilisons un modèle SVAR, en incorporant les principaux canaux de transmission monétaire simultanément au lieu de les considérer séparément. Les résultats empiriques indiquent que le canal de taux de change ainsi que canal du prix des actifs ont une importance relativement plus élevée que le canal du taux d’intérêt traditionnel ou le canal du crédit pour la production industrielle. Les résultats sont très différents dans le cas de l’inflation, à l’exception de la Corée. Le classement élevé canal du taux de change et du canal du prix des actifs correspondent aux résultats de Gudmundsson (2007) : le canal du taux de change pourrait avoir pris une importance grandissante avec la développement de la globalisation financière.Dans le troisième chapitre, nous étudions empiriquement le rôle de l’ouverture - réelle et financière - sur la dynamique de l’inflation au Brésil, Chile en Corée du Sud. L’étude se base sur des données mensuelles, depuis l’adoption du ciblage d’inflation jusqu’à décembre 2009. Dans ce dernier chapitre, nous utilisons méthode de moments généralisée (GMM). Le ratio Importation sur PIB est considéré comme étant l’indicateur de l’ouverture réelle. En ce qui concerne l’ouverture financière, nous considérons alternativement l’indice de Chinn et Ito (KAOPEN) mesurant le degré de libéralisation des opérations sur le compte financier, et l’indicateur proposé per Lane et Milesi-Ferreti (2009).Nous concluons dans ce chapitre qu’il existe en général une relation positive entre l’ouverture réelle et l’inflation. En ce qui concerne l’ouverture financière, les résultats sont moins tranchés et dépendent largement de l’indicateur utilisé pour mesurer l’ouverture financièreThe aim of this thesis is to analyze the impact of globalization on the dynamics of inflation and monetary policy in a globalized world. It consists of three essays.In the first essay we investigate the impact of financial globalization on the behaviour of inflation targeting emerging market economies with respect to exchange rate – Do central banks respond to exchange rate movements or not? We use quarterly data for six emerging market inflation targeting economies from the date of their inflation targeting adoption to 2009 Q4. The chapter uses small open economy new Keynesian model à la Gali and Monacelli (2005), and employs multi-equation GMM technique to investigate the relationship. We find that the response of central bank to the exchange rate in case of Brazil, Chile, Mexico and Thailand is statistically significant while insignificant for Korea and Czech Republic. Theoretically, it should not be so as even under flexible inflation targeting central bank responds to inflation deviation and output gap; we think that the peculiar characteristics of emerging markets, like fear of floating, weak financial system and low level of central bank credibility make exchange rate important for these economies. In the second essay we investigate empirically the relative importance of monetary transmission channels for Brazil, Chile and Korea. This chapter uses monthly data from the inception of inflation targeting regime to 2009 M12. We use a SVAR model incorporating the main monetary transmission channels combined together instead of individual channels in isolation. The empirical results indicate that the exchange rate channel and the share price channel have higher relative importance than the traditional interest rate and credit channel for industrial production. The results are not much different in case of inflation, except for Korea. The high ranking of exchange rate and share price channel is in line with the results by Gudmundsson (2007), which finds that exchange rate channel might have overburdened in the wake of financial globalization.In the third chapter we investigate empirically the role of openness – real and financial – on the inflation dynamics of Brazil, Chile and Korea. The chapter uses monthly data from the inception of inflation targeting regime to the end month of 2009. In this chapter we employ the Generalized Method of Moments (GMM) technique. We use imports to GDP ratio as an indicator for real openness whereas Chinn and Ito index (KAOPEN) and total assets plus total liabilities to GDP ratio form the data set of Lane and Milesi-Ferretti are two proxies for financial openness. The chapter concludes that there exists, generally, a positive relationship between real openness and inflation. However, in case of financial globalization the results are inconclusive as they are sensitive to measurement method of financial globalization
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Jayamaha, Ranee. "The monetary transmission mechanism in Sri Lanka 1977-1985 : a macro simulation approach to the modelling of the money supply process and the construction of an analytical framework for monetary management." Thesis, University of Bradford, 1989. http://hdl.handle.net/10454/4341.
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The primary objective of this thesis is to analyse the relationship between money and the macro-economy in Sri Lanka between 1977 and 1985, in order to identify the paths through which monetary policy impulses are transmitted over this period. In doing so, - we also hope to highlight the use of macro-simulation as a tool for the analysis of the monetary transmission mechanism and to emphasise the importance of formulating monetary policy within an explicit monetary control framework. This is especially important in Sri Lanka since monetary policy has been a key instrument of demand management since 1977 and historically there has been a noticeable absence of an explicit monetary control framework. Empirical research on the monetary transmission mechanism has been very limited as far as developing countries are concerned. An exception here is the SEACEN (1981) study which simulates the effects of monetary shocks on a number of South East Asian countries, including Sri Lanka, using a flexible monetarist approach. Our research is based upon a revision of the specification of this model for Sri Lanka and a more comprehensive disaggregation of the monetary transmission channels. Our empirical model produces statistical results which are generally acceptable and conform to a Priori expectations. This model is then simulated dynamically, both, to validate the equations in the context of a complete model and to quantify the impact of alternative policy scenarios relating to the monetary transmission mechanism in Sri Lanka. We believe that our results will help to shed light on the nature of the monetary transmission mechanism in developing countries as well as provide the basis for an on-going analysis of monetary management in Sri Lanka.
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Phelps, Barry Keith. "Financial contagion and the transmission of the 2007 US financial crisis to South Africa." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1019714.
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The topic of financial contagion has attracted increased attention in economic literature over the past three decades; in particular after the Asian crisis of 1997. This dissertation investigates financial contagion and its effects on South Africa after the 2007 global financial crisis. In particular, it examines whether South Africa experienced contagion from the United States stock market to its own over the period 1 July 2007 to 1 April 2009 within the strict definition of contagion or otherwise: the fraction of exceedance events in the stock market that is left unexplained by its own covariates but is explained by the exceedance from another region. This is tested empirically with a binomial-nominal logistic model. In addition to this, various financial and trade transmission mechanisms are tested to empirically determine through which channels the crisis was propagated. The analysis makes use of quarterly data from January 2002 to April 2009, within an OLS framework, with a dummy variable differentiating the periods before and after the collapse of Lehman Brothers. The findings suggest that contagion was in fact not present in this crisis, which speaks to market rationality and indicates that the South African stock market did in fact react rationally to a changing macroeconomic environment over this period. The transmission mechanism analyses indicate that there was a change in the interdependence relationship between the two stock markets following the crash of Lehman Brothers in September 2008. It is apparent that both trade and financial variables played significant roles in the propagation of this crisis.
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Cermeño, Rodolfo, Oscar Dancourt, Gustavo Ganiko, and Waldo Mendoza. "Active Interest Rates and Monetary Policy: An Analysis with Individual Banks Data." Economía, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/117519.
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This paper investigates empirically the interest rate channel of the transmission mechanism of the monetary policy in Peru. Using monthly data for the six largest banks for the period June 2003 – June 2010 we study the two main policy instruments used under the inflation-target regime: the rate of monetary policy and the required bank reserves rate. We fit a dynamic panel data model obtaining two fundamental results. First, increases in the rate of monetary policy affectpositively and significantly the interest rates on commercial loans charged by the six largest banks of the country. Second, no evidence is found that the required bank reserves rate on deposits in Peruvian currencyEste trabajo evalúa empíricamente el canal de tasas de interés en el mecanismo de transmisión de la política monetaria en el Perú, durante el periodo junio 2003-junio 2010, empleando datos mensuales de bancos individuales. Se estudian los dos principales instrumentos de política utilizados bajo el régimen de metas de inflación: la tasa de política monetaria y la tasa de encaje.Utilizando un modelo de datos de panel dinámico, nuestro trabajo tiene dos resultados básicos. En primer lugar, un alza de la tasa de interés de referencia tiene un impacto positivo y significativo sobre las tasas de interés de los préstamos comerciales fijadas por los seis bancos más grandes del país. En segundo lugar, no encontramos evidencia que sugiera que la tasa de encaje a los depósitos en moneda nacional influye sobre estas mismas tasas de interés fijadas por estos seisbancos durante el periodo analizado.
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Jansson, Emelie, and Linda Kapple. "Vad styr företagens investeringar?En studie om hur förändringar i reporänta, makroekonomiska faktorer samt finansiella indikatorer påverkar investeringar hos svenska företag." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-121716.
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Bakgrund: I november 2014 beslutade Riksbanken att ta steget mot en nollränta och i februari 2015 gick Riksbanken ut med ytterligare en sänkning till -0,10 procent. På så vis fick Sverige för första gången en negativ reporänta. Enligt makroekonomisk teori ska en sänkning av reporäntan stimulera konsumtion och investeringar i ekonomin. Huruvida reporäntan och dess räntesänkningar skapar förutsättningar för företag att investera är ett aktuellt och viktigt forskningsområde. Forskningen i ämnet är tunn på den svenska marknaden och således är forskningsbidraget från denna studie av betydelse.Syfte: Syftet med studien är att undersöka och analysera hur förändringar i reporänta, makro-ekonomiska faktorer samt finansiella indikatorer påverkar investeringar hos svenska företag.Genomförande: Studien bygger på en kvantitativ metod. En Vector Autoregressive model har skapats för att redogöra hur reporäntan, de makroekonomiska faktorerna och de finansiella indikatorerna påverkar företagens investeringar. För att möjliggöra en analys av dessa effekter har impulse response functions skattats i modellen. På så vis undersöks det hur en isolerad enhetsökning i de valda variablerna påverkar företagens investeringar över flera tidsperioder. För att genomföra en mer omfattande analys skattas tre modeller där den första tar hänsyn till både makroekonomiska faktorer och finansiella indikatorer. Den andra modellen exkluderar de finansiella indikatorerna och den tredje modellen speglar reporäntans utveckling i två olika tidsperioder.Resultat: Företagens investeringar påverkas av flertalet faktorer. En enhetsökning av utlåningsräntan, växelkursen och företagens inflationsförväntningar uppvisar ett signifikant negativt samband. En enhetsökning av BNP-tillväxten visar däremot ett signifikant positivt samband. Reporäntan visar ingen direkt effekt på investeringar i de första två modellerna. Däremot uppvisar reporäntan skillnader i den tredje modellen, där ett negativt samband förekommer i den första av de två observerade tidsperioderna.Background: The central bank of Sweden decided in November 2014 to set the repo rate close to zero. Further they decided to lower the repo rate to -0,10 percent in February 2015. In regard to this, Sweden had a negative repo rate for the first time. According to macroeconomic theory a decrease in the repo rate is performed to stimulate an economy’s investments and consumptions. Whether or not a decrease in interest rates gives greater incentives for firms to invest is a topical subject and an important field of research. In addition to this, the existing research on the Swedish market is insufficient within this field, which gives us further motives to conduct this study.Aim: The purpose of this study is to examine and analyse how changes in the repo rate, macroeconomic factors and financial indicators affects investments of Swedish firms.Completion: The study is conducted with a quantitative approach. A Vector Autoregressive model is created in order to examine the impact of changes in the repo rate, the macroeconomic factors and the financial indicators on firms’ investments. Impulse response functions are estimated to allow a further analysis of these effects. Hence, it is conceivable to examine how one isolated unit-increase in a specific variable affects firms’ investment through several time periods. Furthermore, we estimate three models, one which includes both macroeconomic variables and financial indicators and another which excludes the financial indicators. The last model reflects the repo rate’s impact on investments in two separate time periods.Result: Investments of firms are affected by numerous of factors. One unit-increase of the lending rate, the exchange rate and firms’ expectations of inflation exhibit a negative relation to investments. Furthermore, one unit-increase in GDP-growth tends to increase investments. However, the repo rate has no impact on investments in the first two models. In spite of this, evidence from the third model indicates that the repo rate has a negative impact on investments during the first period.
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Petříková, Eva. "Transmisní mechanismus měnové politiky Federálního rezervního systému." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4493.
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This thesis analyses the chief relations inside the transmission mechanism of the monetary policy of the U.S. Federal Reserve System during the period from 1955 to 2007. The theoretical part of the thesis describes the principles of the history of Federal Reserve and his monetary policy, the development of Fed's monetary policy and its transmission mechanism, the lags in the monetary policy and various theories which deal with try to explain the monetary policy relations. In the analytical part I focus on answering the most laid questions whether, how much and for how long do the nominal interest rates and monetary aggregates affect the real variables (mainly the real domestic product) of the United States. Next I focus on investigating the monetarist assumption of money neutrality in the long run. I also introduce Granger causality and Impulse and Responses investigations into proposed VAR model.
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Janeiro, Eva Isabel Crisótomo. "Transmissão monetária: resultados da aplicação de modelos VAR a Portugal e Alemanha." Master's thesis, Instituto Superior de Economia e Gestão, 2004. http://hdl.handle.net/10400.5/2832.
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Mestrado em Economia Monetária e FinanceiraTendo em conta o enquadramento da Terceira Fase da UEM, este trabalho aborda a questão da transmissão da política monetária à economia real. São estimados modelos VAR que pretendem identificar os efeitos de choques de taxa de juro sobre o produto e preços de duas economias da UEM, Portugal e Alemanha, em dois contextos distintos, políticas monetárias independentes e política monetária única. Paralelamente, estuda-se a importância relativa dos vários canais de transmissão monetária para o efeito total registado (canais de taxa de juro, taxa de câmbio e crédito). Os resultados confirmaram, como seria esperado, a reacção negativa do produto e preços dos dois países a aumentos de taxa de juro. Na transmissão monetária do período pré-UEM foram encontradas diferenças entre os dois países, a nível da magnitude e do timingdos efeitos. Considerando os resultados no contexto de política monetária única, concluiu-se que parte dessas diferenças estaria associada às diferentes funções de reacção e não a diferenças nos mecanismos de transmissão. Adicionalmente, encontraram-se indícios de que o mecanismo de transmissão destes países não se tenha alterado, de forma significativa, a partir de 1999. Ainda no contexto da UEM, concluiu-se que Portugal ocupa uma posição vulnerável, como país pequeno e como detentor de um mecanismo de transmissão forte. Relativamente aos vários canais de transmissão, os resultados comprovaram a relevância do canal de taxa de câmbio para Portugal no período pré-UEM. O canal do crédito e o de taxa de juro foram considerados relevantes para este país em ambos os regimes de política monetária. Na Alemanha, a taxa de juro terá sido o principal canal de transmissão em funcionamento, tendo repartido parte do seu papel com o canal do crédito no contexto da UEM e, eventualmente, com o canal de taxa de câmbio no período pré-UEM.
This thesis examines the issue of monetary policy transmission against the background of Stage Three of EMU. The intention is to identify, through the estimation of VAR models, the effects of an interest rate shock on the output and prices of two EMU economies, Portugal and Germany. This is done from two different perspectives, monetary policy independence and common monetary policy. Concurrently it is studied the relative strength of different channels of monetary transmission (interest rate, exchange rate and credit). The results confirmed, as expected, that in both countries, an interest rate shock leads to a decrease in both output and prices. In the pre-EMU period, it was found some heterogeneity in monetary policy transmission of the two countries as regards the strength and timing of the effects. However, considering the outcome from the EMU perspective, it was concluded that part of this heterogeneity might be due to the different monetary policy reaction functions rather than different transmission mechanisms. Some results were also found that seem to point to the maintenance of transmission mechanisms, in these countries, after 1999. Under EMU, Portugal was seen as being in a vulnerable position, being a small country with a strong monetary transmission mechanism. As for the monetary transmission channels, the results confirmed the significance for Portugal of the exchange rate channel in the pre-EMU period. Credit and interest rate channels were found to be of relevance, for this country, in both monetary policy regimes. In Germany, the interest rate channel was the dominant factor in monetary policy transmission. However, part of it was shared with the credit channel within the EMU perspective and, possibly, with the exchange rate channel when considering the pre-EMU period.
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Bryntsev, Maksim. "Monetární politika Ruské federace." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-193334.
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The aim of the thesis is to analyze and to explain monetary policy of Russian central bank and to determine its specific characteristics during 2010 -- 2014 as well as to describe its main instruments, goals, models and methods of regulation. First of all, the author will introduce common problems of monetary policy and there will be described general theoretical aspects of monetary policy functioning as well as impacts of monetary measures in open economy with different regimes of exchange policy and capital mobility. Further, there will be described instruments and transmission mechanism of monetary policy. The author will try to describe conditions of monetary policy realization, which have an impact on the direction of Bank of Russia measures, within the analytical part. The author will describe instruments that are characteristic for Russian central bank and foreign exchange policy, which are important for prediction of impact from monetary actions. At the end of the thesis the author will try to estimate an efficiency of monetary policy with the comparison of reality and the prognoses of Bank of Russia.
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Houštecký, Martin. "Aktuální problémy měnové politiky ve světě." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-136349.
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This master thesis deals with current monetary policy in the world. The monetary policy belongs to the basic components of the economy and the economic policy. In today`s world economy, still recovering from the recent financial and economic crisis, many people look up to the monetary policy as a possible remedy for standstill economy. At first, this thesis presents standard monetary policy. Then, the analysis of the current monetary policy in the centres of the world economy, which means the USA, Europe and Japan, is carried out. From the analysis the main problems of current monetary policy emerge and then new tools and solutions implemented by various central banks for the purpose of solving these problems are analysed. At the end other possibilities of the monetary policy are presented in theory.
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Denardin, Anderson Antonio. "Assimetria de informação, intermediação financeira e o mecanismo de transmissão da política monetária : evidências teóricas e empíricas para o canal do empréstimo bancário no Brasil (1995-2006)." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/13131.
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Nesta tese investigaremos se os bancos, em geral, e se os empréstimos bancários, em particular, desempenham alguma função especial na economia brasileira, especificamente, no que se refere em explicar a performance da atividade produtiva. Procuramos averiguar as evidências teóricas e empíricas que visam desvendar a relevância do canal do crédito, em especial, do canal do empréstimo bancário, enquanto um canal adicional para a transmissão da política monetária. Isso é feito levando em conta o ambiente institucional em que a economia brasileira está inserida, cujo caráter específico, supõem-se de grande relevância para o melhor entendimento das reais condições apresentadas pelo mercado financeiro e, em especial, pelo mercado de crédito. A hipótese central considerada é que, além do impacto promovido pelo tradicional canal da taxa de juros (custo do capital) - através do efeito que exerce sobre as obrigações (depósitos) dos intermediários financeiros e sobre as decisões de investimento dos agentes - a política monetária afeta a atividade econômica através do mercado de crédito, em especial, através do canal do empréstimo bancário, devido ao efeito que exerce sobre a composição dos ativos das instituições financeiras, em particular, sobre as decisões dos bancos em relação ao volume e as condições em que os empréstimos serão ofertados. Considera-se ainda que, o sistema legal do país constitui a base para a formação de sua estrutura financeira e, por conseguinte, contribui para explicar o grau de desenvolvimento do mercado de crédito, bem como, a intensidade com que o canal do crédito responde aos choques de política monetária. Utilizando-se, como instrumento para a análise empírica, da metodologia de vetor auto-regressivo (VAR) constata-se que, os resultados observados estão em sintonia com a teoria do “canal do crédito”, a qual sugere que fricções informacionais no mercado são agravadas em períodos de restrição monetária, resultando em queda na oferta de crédito e aumento no prêmio de financiamento externo (spreads), o que contribui para potencializar a ação da política monetária sobre o produto e sobre os preços. Além disso, corroboram com os argumentos levantados pela literatura de “law and finance”, segundo a qual, aspectos institucionais, relacionados a baixa proteção do direito dos investidores, (associados às deficiências nas regras legais e à ineficiência na execução dessas regras), contribuem para intensificar as fricções informacionais no mercado de crédito e de capitais.In this research we investigated if the banks, in particular, if the bank loans, carry out some special function in the Brazilian economy, specifically, to explain the performance of the productive activity. We tried to discover the theoretical and empirical evidences that seek to expose the relevance of the credit channel, especially, of the bank loan channel, while an additional channel for the transmission of monetary policy. Taking into account the institutional atmosphere in that the Brazilian economy is inserted, whose specific character is supposed relevant for understanding of the real conditions of the financial market and, especially, of the credit market. The central hypothesis is that, besides the impact caused by the traditional channel of the interest rate (cost of capital) - through the effect that it is done over the obligations (deposits) of the financial intermediaries and over the decisions of the agents' investment - the monetary politics affects the economical activity through the credit market, especially, through the channel of the bank loan, due to the effect that it exercises on the composition of the assets of the financial institutions, in particular, about the decisions of the banks in relation to the volume and the conditions the loans will be offered. The legal system of the country constitutes the basis for the formation of its financial structure and, consequently, it contributes to explain the degree of development of the credit market as well as the intensity with which the channel of credit responds to shocks on monetary policy. As instrument for the empirical investigation, the VAR analysis demonstrated that results are in syntony with the theory of the "credit channel". This theory suggests that informational frictions in the market are worsened in periods of monetary restriction, resulting in fall in the credit supply and increase in the premium of external financing (spreads). This contributes to accelerate the action of the monetary policy on output and prices. In addition, they corroborate the arguments from the literature of "law and finance", which suggests that institutional aspects, related to the low protection of the investors' rights (associated to the deficiencies in the legal rules and to the inefficiency in the execution of those rules), contribute to intensify the informational frictions in the credit and capital market.
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Hojková, Tereza. "Měnová politika ČNB a perspektivy přijetí eura." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76909.
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The thesis "Monetary policy of ČNB and prospects of euro adoption" focuses on assessment of current monetary policy of the Czech National Bank its role in the process of preparation for the adoption of the single European currency and the Czech Republic's preparations for joining the European Monetary Union. The second part deals with the monetary policy of the Czech National Bank in connection with the entry into the European Monetary Union and its alignment with the monetary policy of the European Central Bank. The third section examines the impact of financial crisis on the monetary policy of the Czech National Bank, and development of economy of the Czech Republic in comparison with the European Monetary Union.
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Krahulcová, Iveta. "Nejvýznamnější etapy ve vývoji měnové politiky ČNB." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359559.
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The diploma thesis deals with the analysis of the most significant phases of the monetary policy of the Czech National Bank, including the analysis and evaluation of its effectiveness from its origin to the present. The thesis is divided into three individual parts. Each part corresponds to a specific transmission mechanism applied by the Czech National Bank while implementing the monetary policy. Each chapter includes the assessment of the effectiveness of individual approaches and the analysis of the impact of the monetary policy as well as the decision of the Czech National Bank on the Czech economy. The very first chapter is focused on the application of the monetary transmission mechanism in conditions of the fixed exchange rate during which an increasing internal as well as external disequilibrium led to the monetary crisis. The second chapter is dedicated to the transition to the inflation targeting, expert discussion concerning its implementation and the evaluation of the achieved results. The last chapter presents the use of the CNB's additional instrument of the monetary policy in the form of the exchange rate including the reasons that led to this step. The closing part of this chapter focuses on the evaluation of the effectiveness of this policy.
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Santarossa, Eduardo Trapp. "Os efeitos dos mecanismos de transmissão da política monetária no Brasil e no Chile de 1995 a 2010." Universidade do Vale do Rio dos Sinos, 2012. http://www.repositorio.jesuita.org.br/handle/UNISINOS/3861.
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CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
O objetivo desse estudo é investigar de que forma ocorrem os efeitos de transmissão de política monetária no Brasil e no Chile. Para esse fim, é utilizado um modelo econométrico VEC (vector error correction), no período do primeiro trimestre de 1995 até o último de 2010 para o modelo brasileiro de do primeiro trimestre de 2000 até o primeiro de 2011 no Chile. Inicialmente, a revisão teórica e empírica faz uma discussão acerca do tema. Subsequentemente, são analisados alguns fatos estilizados sobre as políticas monetárias do Brasil e do Chile e outras variáveis macroeconômicas. Os principais resultados encontrados por meio do modelo econométrico mostraram que a política monetária brasileira pode ser capaz de influenciar a produção industrial no longo prazo, e ocorre um trade-off entre elevação na atividade econômica e controle da inflação. Adicionalmente, a manutenção da taxa de juros num patamar alto pode implicar em queda da atividade econômica, elevação da dívida pública sobre o PIB e valorização cambial, que possui efeito de controlar a inflação, mas reduz a atividade industrial. Entretanto, a alta nos juros pode ser influenciada por aumentos da dívida pública e no risco. A taxa de câmbio mostrou-se como um canal relevante para a transmissão de política monetária, no entanto, sem efeitos no longo prazo. No Chile, a política monetária pareceu agir passivamente, com a produção industrial sendo o canal mais relevante para a desaceleração da inflação. A taxa de câmbio não demonstrou desempenhar um papel relevante na transmissão da política monetária. Por sua vez, um aumento na taxa de juros pareceu ter maior sensibilidade na queda na atividade industrial em relação à desaceleração da inflação, com efeito de longo prazo. A pouca influência dos riscos na taxa de juros pode indicar que o Banco Central chileno consegue manter essa variável num patamar baixo, otimizando sua atuação.
The aim of this study is to investigate how monetary policies are transmitted and their effects in Brazil and Chile. For this purpose, a VEC (vector error correction) model is applied to data running from the first quarter of 1995 to the fourth quarter of 2010 for Brazil and from the first quarter of 2000 to the first of 2011 in Chilean case. Initially, in the review, a theoretical and empirical discussion of the theme is performed. Subsequently, some stylized facts about the monetary policies of Brazil and Chile and other macroeconomic variables for these countries are analyzed. The main results found by the econometric model are that the Brazilian monetary policy may be able to influence economic activity in the long run, and that is a trade-off between increased industrial production and inflation control. Additionally, keeping interest rates at a high level can result in an economic activity downturn, a rising public debt to GDP ratio and an exchange rate appreciation, which has the effect of controlling inflation, but reduces industrial activity. However, the rise in interest rates may be influenced by increases in public debt and risk. The exchange rate showed up as a relevant channel for the transmission of monetary policy, although, not exhibiting long run effects. In Chile, monetary policy seemed to act passively, with industrial production being the most important channel for the deceleration of inflation. The exchange rate has not demonstrated an important role in monetary policy transmission. Furthermore, an increase in interest rates seemed to have greater sensitivity in the fall in industrial activity in relation to the deceleration of inflation, and a long run effect. The low influence of risks in the interest rate may indicate that the Chilean Central Bank can keep this variable in a low base, optimizing its performance.
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Nget, Sovannarith. "La Réforme Financière au centre de l’Efficacité de la Politique Monétaire au Cambodge." Thesis, Lyon 2, 2013. http://www.theses.fr/2013LYO22004.
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Après trois décennies des conflits armés, le Cambodge a enfin la capacité d’accélérer sa croissance et l’intégration de son économie dans la région et le monde. Pour cela, le pays doit reconstruire un système financier solide et mettre en place une politique monétaire. Nous proposons une étude de l’efficacité de la politique monétaire de la BNC (Banque Nationale du Cambodge) en tenant compte du fait que le sous-développement du secteur financier amoindrit les effets des canaux de transmission de la politique monétaire.Après avoir abordé les aspects théoriques en mettant en lumière le consensus de la politique monétaire et les différents canaux de transmission, nous passons en revue les travaux empiriques menés sur ce thème tant dans les pays développés, les pays en développement que les pays en transition. Il en ressort que les spécificités des systèmes financiers des différents pays, conditionnent la complexité et les effets des canaux de transmission et que le développement du système financier favorise la conduite de la politique monétaire, ne serait-ce que parce qu’elle étaye la confiance du public. Nous mettons ainsi en évidence l’importance d’une réforme du secteur financier préalable à toute politique monétaire. Par ailleurs, l’évolution du secteur financier est liée au développement économique mais celle-ci est aussi susceptible de créer de l’instabilité financière si le pays ne met pas en place des institutions suffisamment solides. Sa réussite demande que soient préalablement remplies un certain nombre de conditions comme la stabilité macroéconomique, la qualité de la réglementation financière et le développement du marché monétaire. Ce type de stratégie a été mise en place en 2001 (Blueprint [2001]) pour développer un système financier fondé sur les mécanismes du marché ; elle n’a que partiellement abouti. Elle a été revue en 2006 (le FSDS [06-15]) avec pour objectif d’harmoniser le calendrier de la réforme avec les améliorations en matière économiques, politiques, sociales et institutionnelles.Au stade actuel de développement du Cambodge, les canaux de transmission de la politique monétaire ne sont pas tous efficients à cause d’un système financier sous-développé, de globalisation financière et la dollarisation. Nous avons par conséquent mené une étude empirique sur la base de données Cambodgiennes pour évaluer leurs effets. Il en ressort que le canal du crédit n’a pas d’impact sur la croissance économique mais sur le niveau général des prix alors que le canal monétaire a un impact positif à court-terme sur le niveau général des prix. L’agrégat M1 et le crédit sont positivement reliés à court-terme. Notre étude suggère l’existence d’un canal monétaire et l’absence d’un canal du crédit. A la recherche du cadre le plus adapté de la politique monétaire dans le contexte du pays, nous analysons trois stratégies : le ciblage du taux d’inflation, celui du taux de change et celui des agrégats monétaires. Nous prenons aussi en compte les aspects institutionnels de la politique monétaire (l’indépendance, la responsabilité et la transparence de la conduite de la politique monétaire), la stratégie de communication et des mécanismes de décision de la Banque Centrale. Une stratégie basée sur un ciblage des agrégats monétaires semble l’option la plus adaptée. Un ciblage du taux de change paraît être une option secondaire (second-best) pour modérer la volatilité excessive et ancrer les anticipations des agents économiquesAfter three decades of the armed conflicts, Cambodia finally has the capacity to accelerate her economic growth and integration into the region and the world. The country must rebuild a sound financial system and put in place an effective monetary policy. We propose to conduct a study on the efficacy of monetary policy of NBC (Central Bank of Cambodia) while taking into account of the underdevelopment of the financial system which weakens the effects of the transmission channels of the monetary policy.Following the literature reviews which highlight the consensus of an effective monetary policy and different channels of transmission, we undertake an empirical review in developed and developing countries. The specificities of financial system of each county condition the complexity and the effects of transmission channels. Moreover, the development of financial system enhances the implementation of monetary policy as long as it enjoys public confidence. We thus emphasize the importance of the reform of financial system prior to conducting an effective monetary policy. Besides, the development of financial system links closely with that of the economy but it is likely to foster financial instability if the country doesn’t have sufficiently sound institutions. The success of the reform requires a number of preconditions such as macroeconomic stability, acceptable quality of regulations, and development of monetary market. The reform was put in place in 2001 (Blueprint [2001]) to develop a sound and efficient financial system based on market mechanisms; it could only partially achieve its objectives. It was revised in 2006 (FSDS [06-15]) to harmonize its objectives with the pace of reform which experienced economic, political, social and institutional improvements.In the current state of development of Cambodia, transmission channels of monetary policy are not fully efficient. We conducted an empirical studies based on Cambodian data to evaluate its effects. It seems that credit channel doesn’t have the impacts on economic growth but on general level of prices while monetary channel has positive and short-term impacts on general level of prices. Our study suggests the existence of a monetary channel and absence of credit channel. In a quest of the suitable monetary policy framework in the current context of the country, we analyze three forms of framework: inflation targeting, exchange rate targeting and monetary aggregate targeting. We also take into account of institutional aspects (independence, accountability, and transparency of the monetary policy implementation), communication strategy, and decision mechanisms of NBC. A monetary policy strategy based on monetary aggregate targeting appears the most suitable option. Exchange rate targeting framework seems to be a second-best option to absorb the excessive volatility and anchor the public expectations
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Câmara, Filho Raimundo. "Os efeitos da política monetária na estrutura a termo de taxas de juros brasileira, no período de julho de 1999 a março de 2007." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/18228.
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Monetary policy actions are believed to be transmitted to the economy through their effects on market interest rates. However, it is observed that the relationship between monetary policy and market interest rates seems quite complex. Although casual observation suggests a close connection between monetary policy actions and short-term interest rates, the relationship between policy actions and long-term interest rates is not so evident. This study estimates the response of the Brazilian term structure of interest rates, from the implementation of the Inflation Targeting Regime until March 2007. Using a model that captures the tendency of market rates to anticipate policy actions, this study finds evidence of a stronger response of long-term rates to innovations in the Selic rate than found in previous research.
A política monetária é transmitida à economia através de seus efeitos sobre o mercado de taxas de juros. Na prática, entretanto, observa-se que o relacionamento entre a taxa de juros básica e as demais taxas de juros de mercado aparenta ser bastante complexo. Ainda que exista farta evidência de que a política monetária produza efeitos previsíveis sobre as taxas de juros de curto prazo, a relação entre as ações de política monetária e as taxas de juros de prazos mais longos não é tão evidente. Nesse estudo, estima-se a resposta da estrutura a termo de taxas de juros brasileira às medidas de política monetária anunciadas, desde a implantação do regime de metas de inflação até março de 2007. Utilizando um modelo simples, mas que captura a tendência do mercado de antecipar as futuras ações de política monetária, encontramos uma resposta muito maior do que as reportadas em estudos anteriores.
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Pérez, Forero Fernando José. "Essays in structural macroeconometrics." Doctoral thesis, Universitat Pompeu Fabra, 2013. http://hdl.handle.net/10803/119323.
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This thesis is concerned with the structural estimation of macroeconomic models via Bayesian methods and the economic implications derived from its empirical output. The first chapter provides a general method for estimating structural VAR models. The second chapter applies the method previously developed and provides a measure of the monetary stance of the Federal Reserve for the last forty years. It uses a pool of instruments and taking into account recent practices named Unconventional Monetary Policies. Then it is shown how the monetary transmission mechanism has changed over time, focusing the attention in the period after the Great Recession. The third chapter develops a model of exchange rate determination with dispersed information and regime switches. It has the purpose of fitting the observed disagreement in survey data of Japan. The model does a good job in terms of fitting the observed data.Esta tesis trata sobre la estimación estructural de modelos macroeconómicos a través de métodos Bayesianos y las implicancias económicas derivadas de sus resultados. El primer capítulo proporciona un método general para la estimación de modelos VAR estructurales. El segundo capítulo aplica dicho método y proporciona una medida de la posición de política monetaria de la Reserva Federal para los últimos cuarenta años. Se utiliza una variedad de instrumentos y se tienen en cuenta las prácticas recientes denominadas políticas no convencionales. Se muestra cómo el mecanismo de transmisión de la política monetaria ha cambiado a través del tiempo, centrando la atención en el período posterior a la gran recesión. El tercer capítulo desarrolla un modelo de determinación del tipo de cambio con información dispersa y cambios de régimen, y tiene el propósito de capturar la dispersión observada en datos de encuestas de expectativas de Japón. El modelo realiza un buen trabajo en términos de ajuste de los datos.
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Klinhowhan, Ubonrat. "Monetary transmission mechanism in Thailand." 1999. http://catalog.hathitrust.org/api/volumes/oclc/43989550.html.
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CHIANG, CHI-HAN, and 江季翰. "Monetary Policy Transmission Mechanism of Euro-Zone." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/92993534497580298537.
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碩士國立臺北大學
經濟學系
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In recent years, the euro area has lower economic growth, the euro area price index has not reached the set target of 2% of the Europe Central Bank(ECB), thus cutting down the policy rate of ECB to influence the behavior of the market and the people, it is desirable to achieve price stability and economic growth targets. However, ECB announced that since July 5, 2012 has been a zero policy rate , in March 2016 its policy rate further to 0.4%, because the policy of zero interest rates and a negative interest rate of the monetary policy in the past rare, so this study is to explore this monetary policy environment What is the impact of the transmission mechanism. In this paper takes the euro zone's overall monthly data, the index of industrial production, short-term interest rates, HICP price index, MSCI Eurozone stock index, the real effective exchange rate index for the variable, and in July 2012 as the boundary of the two groups “before the zero interest rate”and “after the zero interest rate” of the empirical model, using vector autoregressions analysis, and observe the performance of the impulse response function. The empirical results show that if the variables have consistent trend of “before the zero interest rate”and “after the zero interest rate”, the extent of the reaction of its impact has become smaller, and the the impulse response has convergence to zero earlier.It show that monetary policy transfer the effect is declined if the policy rate less than or equal zero. That consistent with the previous studies. This study also concluded that when the inflation rate is subject to interest rate shock, the impulse response function of the inflation rate increase in some periods, and can not completely eliminate Price Puzzle. Finally, this study also recommends that if the number of samples can be enough, we can study the current policy interest rate is negative country whose monetary policy transmission mechanism. And construct a model to join the intermediate target variables or add time-phased dummy variable to explore the dynamics of the monetary policy transmission process.
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Endut, Norhana. "Identifying and testing the transmission mechanism of monetary policy." 2005. http://catalog.hathitrust.org/api/volumes/oclc/76945550.html.
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Betts, Caroline M. "Exchange rates, monetary policy, and the international transmission mechanism." Thesis, 1994. http://hdl.handle.net/2429/6977.
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The three chapters of this thesis address two questions. First, how are real and nominal exchange
rates between different national currencies determined? Second, how does this determination influ-
ence the international transmission of macroeconomic fluctuations and, especially, monetary policy
disturbances?
Chapter 1 comprises an empirical evaluation of long-run purchasing power parity as a theory of
equilibrium nominal exchange rate determination for the post-Bretton Woods data. Structural time
series methods are used to identify bivariate moving average representations of nominal exchange
rates and relative goods prices and to test whether these empirical representations are consistent
with the implications of purchasing power parity. Long-run purchasing power parity can be un
ambiguously rejected for the G- 7 countries. There are permanent deviations from parity which
account for almost all of the variance of real exchange rates, and which are driven by permanent
disturbances to nominal rates which are never reflected in relative goods prices.
Chapter 2 presents an empirical evaluation of the hypothesis that the global Depression of the
1930’s was attributable to international transmission of (idiosyncratic) U.S. monetary policy actions
through the International Gold Exchange Standard - fixed exchange rate - regime. Specifically, the
analysis evaluates whether the interwar output collapse in Canada was caused by transmitted U.S.
monetary policy disturbances. A multivariate structural time series representation of the Cana
dian macroeconomy is estimated which is consistent with the dynamic and long-run equilibrium
properties of a Mundell- Fleming small open economy model and in which U.S. data represent the
‘rest of the world’. The empirical results show that U.S. monetary disturbances play a negligible
role for both Canadian and U.S. output movements in the 1930’s. Permanent common real shocks
to outputs can account for the onset, depth and duration of the Depression in both economies.
There is little evidence to support a Gold-Standard transmitted global output collapse through the
transmission mechanisms usually associated with purchasing power parity theories of real exchange
rate determination.
Chapter 3 develops an alternative theory of real and nominal exchange rate determination and
of the international transmision mechanism which can account for many stylized facts regarding
the empirical behaviour of real and nominal exchange rates that long-run purchasing power parity
fails to explain. In a two-country, two-currency overlapping generations model, the role of optimal
portfolio choices between internationally traded assets is emphasized - rather than goods market
trade - as the source of currency demands. These demands, and supplied of assets generated by
domestic monetary policies, determine both real and nominal exchange rates. Here, monetary policy changes can induce permanent international and intra-national reallocations through real
exchange rate and real interest rate adjustments. This transmission mechanism differs markedly
from that implied by purchasing power parity.