scholarly journals Monetary determinants of deposit euroization in European post-transition countries

2013 ◽  
Vol 60 (1) ◽  
pp. 89-101
Author(s):  
Marina Tkalec
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Transition Economies ◽  
Long Run ◽  
Johansen Cointegration ◽  
Short Run ◽  
The Interest Rate ◽  
Interest Rate Differentials

This paper investigates the long-run and short-run relationship between deposit euroization in twelve European post-transition economies and two determinants of deposit euroization that are under the influence of monetary policy: the exchange rate and the interest rate differential. The link between deposit euroization, exchange rates and interest rate differentials is investigated using Johansen cointegration and error correction models for each country separately. The results suggest that changes in both monetary drivers have significant effects on deposit euroization and are therefore important for explaining and fighting deposit euroization. Differences between exchange rate regimes, fixed and managed vs. floating, seem to matter for deposit euroization.

The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bhavesh Garg ◽  
K.P. Prabheesh
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Relevant Information ◽  
Content Type ◽  
Outbreak Period ◽  
Short Run ◽  
The Interest Rate ◽  
Interest Rate Differentials

Purpose This paper aims to investigate whether the interest rate differentials Granger cause expected change in the exchange rate during the COVID-19 period. The study examines if the investors in the international assets and exchange rate markets take advantages of the relevant information obtained during the COVID-19 pandemic. Design/methodology/approach This paper used daily data ranging from January 31, 2020 to June 30, 2020 and considered BRIICS economies. The study implemented the Toda–Yamamoto’s Granger causality approach to identify the causality between interest rate differentials and exchange rates. For robustness checks, the study used ARLD short-run dynamics to infer causal relations. Findings Overall, the results indicate that the interest rate differentials improve the predictability of subsequent exchange rate changes in all six BRIICS economies during the COVID-19 period wherein investors are forward-looking. The empirical results pass the robustness checks. Originality/value There is a lack of studies exploring the relationship between interest rate differentials and exchange rates in the presence of an unanticipated event such as the current pandemic. To the best of the authors’ knowledge, this is the first study to explore the causal linkages between interest rate differentials and expected change in exchange rates, focusing on the COVID-19 outbreak period.

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

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.

scholarly journals ANALISIS KEBIJAKAN MONETER DALAM MENGENDALIKAN INFLASI DI INDONESIA

2012 ◽  
Vol 1 (2) ◽  
pp. 103
Author(s):  
Suriani Suriani
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Unit Root Test ◽  
Good Choice ◽  
Causality Test ◽  
Long Run ◽  
Short Run

The objective of this research is to analize the effects of the variables interest rate, and exchange as one of monetary mecanisme for controlling inflation. The correlation among those variables is cointgration in the long run and short run equilibrium analyzed. In Indonesia, the monetary policy is run by monetary instruments (i.e. interest rates or monetary aggregates) to achieve price stability. This research used Unit Root Test , Cointegration Test, Granger causality and VECM (Vector Error Correction Model) Test. The results of estimation showed that have cointegration among interest rate, exchange rate and inflation in the long run. Granger causality test showed that between inflation and interest rate have no causality relationship, but for inflation and exchange rate have two directions relationship of causality. It’s means, monetary of mecanisme transmition through exchange rate channel can be good choice in making monetary policy to control inflation in Indonesia.

scholarly journals The Long-run Relationship between Real Exchange Rate and Real Interest Rate in Asian Countries: An Application of Panel Cointegration

2001 ◽  
Vol 40 (4II) ◽  
pp. 577-602 ◽  
Author(s):  
Shaista Alam ◽  
Muhammad Sabihuddin Butt ◽  
Azhar Iqbal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Interest Rate ◽  
Real Exchange Rates ◽  
Panel Cointegration ◽  
The Real ◽  
Long Run ◽  
Interest Rate Differentials

The role of exchange rate policy in economic development has been the subject of much debate and controversy in the development literature. Interest rates and exchange rates are usually viewed as important in the transmission of monetary impulses to the real economy. In the short run the standard view of academics and policy-makers is that a monetary expansion lowers the interest rate and rises the exchange rate, with these price changes then affecting the level and composition of aggregate demand. Frequently, these influences are described as the liquidity effects of monetary expansion, viewed as the joint effect of providing larger quantities of money to the private sector. Popular theories of exchange-rate determination also predict a link between real exchange rates and real interest rate differentials. These theories combine the uncovered interest parity relationship with the assumption that the real exchange rate deviates from its long-run level only temporarily. Under these assumptions, shocks to the real exchange rate—which are often viewed as caused by shocks to monetary policy—are expected to reverse themselves over time. This study investigates the long-run relationship between real exchange rates and real interest rate differentials using recently developed panel cointegration technique. Although this kind of relationship has been studied by a number of researchers,1 very little evidence in support of the relationship has been reported in the case of developing countries. For example, Meese and Rogoff (1988) and Edison and Pauls (1993), among others, used the Engle-Granger cointegration method and fail to establish a clear long-run relationship in their analysis.

Monetary Policy, Trade Openness and Economic Growth in India Under Monetary-targeting and Multiple-indicator Approach Regimes

2019 ◽  
Vol 19 (1) ◽  
pp. 108-124 ◽  
Author(s):  
Tafajul Hossain ◽  
Biswajit Maitra
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Positive Impact ◽  
Trade Openness ◽  
Long Run ◽  
Indicator Approach ◽  
Monetary Targeting ◽  
Short Run ◽  
Multiple Indicator

This article examines the role of monetary policy and trade openness to raise income in India for the monetary-targeting regime and the multiple-indicator approach regime of monetary policy. The impact of the key instruments of monetary policy, namely, money supply, interest rate and exchange rate, with trade openness on income, is assessed. Besides, how interest rate responds to monetary instruments, income and trade openness is studied. Empirical analysis finds a significant positive impact of the broad money supply, both in the short run and the long run, along with a negative long-run impact of the real interest rate and a positive impact of the real effective exchange rate in the variations of income. On the other hand, trade openness contributes to a rise in income in the short run, while its impact on the long run is negative. The interest rate has also responded to policy instruments, income and openness which indicates that the monetary policy is effective over the two monetary regimes.

scholarly journals Credibility of the Philippine Central Bank: Evidenced by the Interest Rate Pass-Through

2017 ◽  
Vol 3 (1) ◽  
pp. 47-56
Author(s):  
Chu V. Nguyen
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Central Bank ◽  
Empirical Finding ◽  
Policy Makers ◽  
Long Run ◽  
Short Run ◽  
Pass Through ◽  
The Interest Rate

This study investigates the Philippine interest rate pass-through over the December 2001 through January 2016 period. The empirical findings suggest that the Philippine Central Bank has not been very effective in formulating and implementing its countercyclical monetary policy. Specifically, the empirical results reveal very low short-run and long- run interest rate pass-through. The Bounds test results indicate no long-term relationship between countercyclical monetary policy and market rates. Notwithstanding the banking system's remarkable performance in the recent years, amid lingering uncertainties in global financial markets, the Philippine Central Bank lacked the credibility in conducting its countercyclical monetary policy. This empirical finding may not be desirable but it forewarns the monetary policy makers of challenges in formulating and implementing their monetary policy.

scholarly journals DAMPAK KEBIJAKAN INFLATION TARGETING TERHADAP BEBERAPA VARIABEL MAKROEKONOMI DI INDONESIA

2007 ◽  
Vol 9 (1) ◽  
Author(s):  
Yati Nuryati ◽  
Hermanto Siregar ◽  
Anny Ratnawati
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Targeting ◽  
Time Series Data ◽  
Policy Instrument ◽  
Series Data ◽  
Long Run ◽  
The Exchange Rate ◽  
The Interest Rate

This paper discusses the effects of the inflation targeting framework on a number of macroeconomic variabels in Indonesia, especially after the enactment of Law No. 23/1999. The objectives of the paper are: (1) to describe the independence aspect of the inflation targeting policy; and (2) to highlight the effects of the inflation targeting on a set of main macroeconomic variables.The anaysis uses the Vector Autoregression (VAR) approach, emploting the time series data during the periode of 1998:1 to 2003:6. The main results of this research are: (1) The Central Bank (BI) independence is not yet effective in the implementation of the inflation targeting; (2) the shock on the interest rate affects price level and the exchange rate trivially; and (2) the factors that influence price’s variability are the base money, the interest rate, and the exchange rate. In the long run, a shock to the base money is more important than to the interest rate and to the exchange rate. The study suggests to use base money as the policy instrument of the monetary policy, instead of the short term interest.Keywords: monetary policy, independence, inflation targeting, VARJEL Classification: C32, E31, E52

scholarly journals ANALISIS PENGARUH JUMLAH UANG BEREDAR, SUKU BUNGA SBI, NILAI TUKAR TERHADAP TINGKAT INFLASI

Media Ekonomi ◽  
2017 ◽  
Vol 18 (2) ◽  
pp. 49
Author(s):  
Heru Perlambang
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Linear Regression ◽  
Exchange Rates ◽  
Interest Rates ◽  
Money Supply ◽  
Inflation Rate ◽  
Test Results ◽  
The Interest Rate

<p>Inflation is one of the effects of a prolonged economic crisis that hit the<br />country. Inflation is a situation where there are price rises sharply (Absolute)<br />which continues over a period of time. The purpose of this study analyzes the<br />monetary policy conducted by Bank Indonesia and its influence as the money<br />supply, interest rates and exchange rates SBI (IDR / USD) of the inflation rate.<br />The method used is multiple linear regression based on test results indicate<br />avariable effect on money supply, interest rate of SBI, and the exchange rate<br />(Rp / USD) in 2004 to 2009. By using eviews 4.0 software obtained from the<br />results of research following the money supply and exchange rate (Rp/USD)<br />had no significant effect on inflation while the interest rate (SBI) have a<br />significant effect on inflation.</p>

Are Structural VARs with Long-Run Restrictions Useful for Developing Monetary Policy Strategy in Egypt?

2009 ◽  
Vol 12 (03) ◽  
pp. 509-527 ◽  
Author(s):  
Ahmed Hachicha ◽  
Cheng-Few Lee
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Bank Lending ◽  
Long Run ◽  
Short Run ◽  
Global Liquidity ◽  
Transitory Effect ◽  
Structural Vars ◽  
The Interest Rate ◽  
Interest Rate Channel

On the basis of SVAR models of monetary policy in Egypt for the period December 1976–May 2006, our paper explores a new empirical assessment for the interest rate channel in correcting trouble in the Egyptian economy by imposing contemporaneous and long run restrictions. It appears that after a monetary policy expansion, output is stable in the first period, rises temporarily reaching the baseline at t = 40, and the global monetary aggregate rises but not significantly. In addition, the price level rises with great difficulties in response to a negative interest rate shock to the global liquidity aggregate. The excess of money supply has a transitory effect on the Egyptian output but it causes inflation pressures. SVAR Blanchard and Quah (1989) estimation reveals contradictory results to the previous findings. Last but certainly not least, this means that the effect of bank lending and the interest rate channels on the economy are limited in time. The paper shows that the transmission of monetary policy through the interest rate channel has become weak in the short run but more important in the long run. Nonetheless, the bank lending channel through the commercial bank lending is not a potent monetary transmission mechanism.

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

Sign in / Sign up

Export Citation Format

Share Document