Notice of Retraction: Monetary Policy Shock and Interest Rate

Employing disaggregated data for 2001–2016, this study investigates the lending and loan pricing behaviour of state-owned and domestic private banks in response to monetary policy. Three major findings emerge. First, although both the interest rate and the bank lending channels are relevant for monetary pass-through, there is a trade-off: the impact of the former is much higher than the latter, although it occurs with a significant lag. Second, domestic private banks have a far greater response to a monetary policy shock under the interest rate channel, whereas state-owned banks display a greater response under the bank-lending channel. And finally, state-owned banks cut back lending during periods of crises, although no such response is manifest in domestic private banks. JEL Codes: C23, D4, E43, E52, G21, L10

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The Sectoral Impact of Monetary Policy Transmission in India: A Panel VAR Approach

Emerging Economy Studies ◽

10.1177/2394901519826705 ◽

2019 ◽

Vol 5 (1) ◽

pp. 63-77

Author(s):

Taniya Ghosh

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Weak Link ◽

Bank Lending ◽

Panel Var ◽

Informal Credit ◽

Long Run ◽

Monetary Policy Shock ◽

The Impact ◽

Panel Vector Autoregression

A structural panel vector autoregression (VAR) analysis is done to analyze the impact of monetary policy shock on people associated with various occupations. To understand the efficacy of bank lending channel, it is important to capture the differential occupation-wise effect of interest rate. The article finds that due to a monetary policy shock, the impulse responses capture the movement of loans in theoretically expected direction in most cases. The Granger causality tests successfully establish the long-run relationship between loans and interest rate. Also, the empirical results of good-performing states support the direct link between greater financial penetration and higher economic activity. Monetary policy shock significantly affects the lending behavior in all the sectors, except in agriculture and personal loans sector. The weak link of transmission in these sectors is mainly attributed either to lack of access to formal credit or a preference to informal credit sources over banks.

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MARKET SEGMENTATION AND THE RESPONSE OF THE REAL INTEREST RATE TO MONETARY POLICY SHOCKS

Macroeconomic Dynamics ◽

10.1017/s1365100508070326 ◽

2008 ◽

Vol 12 (5) ◽

pp. 591-618 ◽

Cited By ~ 3

Author(s):

Filippo Occhino

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Market Segmentation ◽

Real Interest Rate ◽

Nominal Interest Rate ◽

Aggregate Output ◽

The Real ◽

Segmented Markets ◽

Policy Shocks ◽

Monetary Policy Shock

Following a contractionary monetary policy shock, the aggregate output decreases over time for six to eight quarters, while the real interest rate increases immediately and remains high for three quarters, which can hardly be replicated by models characterized by a standard consumption Euler equation. This paper adopts a segmented markets framework where some households are permanently excluded from financial markets. The aggregate output and the nominal interest rate are modeled as exogenous autoregressive processes, while the real interest rate is determined endogenously. For intermediate levels of market segmentation, the model is able to account for both the persistent decreasing path of the aggregate output and the persistent increase in the real interest rate which follow an unanticipated increase in the nominal interest rate. The sign, the size and the persistence of the responses of the real interest rate and the money growth rate are close to those in the data.

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Dampak Kebijakan Moneter Pada Output Di Negara-Negara ASEAN Tahun 1980-2014

Jurnal Riset Manajemen Sekolah Tinggi Ilmu Ekonomi Widya Wiwaha Program Magister Manajemen ◽

10.32477/jrm.v4i1.191 ◽

2017 ◽

Vol 4 (1) ◽

pp. 58-70

Author(s):

Nur Widiastuti

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Fixed Effects ◽

Empirical Studies ◽

Negative Relationship ◽

Least Square ◽

Fixed Effects Model ◽

State Data ◽

Ordinary Least Square ◽

The Impact

The Impact of monetary Policy on Ouput is an ambiguous. The results of previous empirical studies indicate that the impact can be a positive or negative relationship. The purpose of this study is to investigate the impact of monetary policy on Output more detail. The variables to estimatate monetery poicy are used state and board interest rate andrate. This research is conducted by Ordinary Least Square or Instrumental Variabel, method for 5 countries ASEAN. The state data are estimated for the period of 1980 – 2014. Based on the results, it can be concluded that the impact of monetary policy on Output shown are varied.Keyword: Monetary Policy, Output, Panel Data, Fixed Effects Model

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Economic effects of monetary policy in Russia: What do large datasets tell us?

Voprosy Ekonomiki ◽

10.32609/0042-8736-2020-4-31-53 ◽

2020 ◽

pp. 31-53 ◽

Cited By ~ 1

Author(s):

Anna A. Pestova ◽

Natalia A. Rostova

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Interest Rates ◽

Economic Activity ◽

Global Financial Crisis ◽

Exchange Rate Regime ◽

Aggregate Demand ◽

Economic Effects ◽

Theoretical Concepts ◽

Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

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The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

Journal of Economics and Development ◽

10.33301/2015.17.01.02 ◽

2015 ◽

pp. 20-40

Author(s):

Vinh Nguyen Thi Thuy

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rate ◽

Money Supply ◽

Monetary Transmission ◽

Impulse Response Functions ◽

Short Run ◽

The Exchange Rate ◽

The Interest Rate ◽

Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

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