Var analysis and monetary transmission mechanism in Kazakhstan

We explore monetary policy transmission by estimating VAR impulse response functions to illustrate the Kazakhstan economy’s response to unexpected changes in policy.This article helps to evaluate the work of the main channels of the monetary policy transmission mechanism, namely, the work of the interest rate channel, exchange rate, and lending channel in the Republic of Kazakhstan, by the help of vector regression model (VAR). It was revealed that the main transmission channel in the study period from 2005 to 2019 in Kazakhstan was the exchange rate channel.The other two remaining channels of the monetary policy transmission mechanism (the bank lending channel and the interest rate channel) were of secondary importance.We find a significant exchange rate pass-through to prices, and interest rate policy following, rather than leading, financial market developments. Our estimated monetary policy reaction function shows the central bank striking a balance between real exchange rate stability and containing inflation. We discuss dollarization, administrative interventions, and other features complicating monetary policy transmission, review specific constraints and vulnerabilities, and conclude with observations on possible measures that could raise the effectiveness of monetary policy in Kazakhstan.

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PERBANDINGAN EFEKTIVITAS MEKANISME TRANSMISI KEBIJAKAN MONETER ANTARA JALUR SUKU BUNGA DENGAN JALUR NILAI TUKAR TERHADAP SASARAN AKHIR INFLASI

Media Ekonomi ◽

10.25105/me.v25i1.5199 ◽

2019 ◽

Vol 25 (1) ◽

pp. 1

Author(s):

Martin Simanjuntak ◽

Budi Santosa

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rate ◽

Time Lag ◽

Transmission Mechanism ◽

Monetary Policy Transmission ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism ◽

The Interest Rate ◽

Interest Rate Channel

This result discusses the effectiveness of the transmission mechanism of monetary policy by comparing the interest rate channel with the exchange rate channel towards the final inflation taget. This study using regression method Vector Error Correction Model (VECM). In the study of this monetary policy transmission mechanism using secondary data based on monthly time series, namely from January 2011 to December 2015. The data is obtained from Bank Indonesia Financial Economic Statistics (SEKI). From the results of this research, the transmission mechanism of monetary policy exchange rate channel is more effective than monetary policy transmission mechanism interest rate channel; it is proven through the test impulse responses and variance decomposition test. In the exchange rate channel time lag until reach the final target of monetary policy (inflation) is 4 months while for the interest rate channel time lag until reach the final target of monetary policy is 5 months. RPUAB very suitable for use as an operational target in the monetary policy transmission mechanism cause rapid and strong response from RPUAB in responding the shock of monetary policy. RPUAB is the biggest variable that dominates the formation of inflation.

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Monetary Policy Transmission under Inflation Targeting in Mongolia

Research in Applied Economics ◽

10.5296/rae.v10i2.12950 ◽

2018 ◽

Vol 10 (2) ◽

pp. 1 ◽

Cited By ~ 2

Author(s):

Erdenechuluun Khishigjargal

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rate ◽

Inflation Targeting ◽

Transmission Mechanism ◽

Monetary Policy Transmission ◽

Rate Transmission ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism ◽

The Interest Rate

This article aims to examine the monetary policy transmission mechanism under the inflation targeting in Mongolia for the period from June 2007 to August 2017 by applying a recursive vector-autoregressive model. Under the inflation targeting framework, the Bank of Mongolia has established the interest rate corridor since February 2013 for the purpose of improving the interest rate channel of the transmission mechanism. The study then contributes to the literature by assessing whether the interest rate corridor has really improved the policy rate transmission effects by comparing the effects between the pre-corridor period (from June 2007 to February 2013) and the post-corridor period (from March 2013 to August 2017). The main findings of this study are as follows. First, in the post-corridor period the effect of policy rate is clearly transmitted to the lending rate and inflation rate through the responses of interbank market rate, whereas the pre-corridor period does not represent any significant interest rate transmission effects. This outcomes implies that the interest rate corridor has contributed to enhancing monetary policy transmission mechanism. Second, the responses of exchange rate and industrial production to the policy rate shock are not significant even after the adoption of the interest rate corridor. This insignificance might come from the stick policy rate to stabilize the exchange rate, so-called a “fear of floating”.

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Monetary Policy Transmission Mechanism in Romania Over the Period 2001 to 2012

Emerging Research on Monetary Policy, Banking, and Financial Markets - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-5225-9269-3.ch005 ◽

2019 ◽

pp. 131-145

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Empirical Evidence ◽

Transmission Mechanism ◽

Communist Country ◽

Monetary Policy Transmission ◽

Policy Transmission ◽

Emerging Country ◽

Monetary Policy Transmission Mechanism ◽

The Interest Rate

This chapter aims to provide additional empirical evidence on monetary policy transmission mechanism in Romania over the period 2001 to 2012 based on a BVAR analysis with a KoKo Minnesota/Litterman prior. The importance of the central bank is rising in Romania considering its main attribution to control the interest rate in accordance with its objectives. The empirical evidence provides a significant contribution to literature taking into account the characteristics of the selected emerging country, i.e. Romania, a former communist country in Central and Eastern Europe.

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Analisis Efektivitas Kebijakan Moneter Dalam Perspektif Konvensional dan Syariah Terhadap Inflasi di Indonesia Tahun 2013-2020

JURNAL ILMIAH EKONOMI ISLAM ◽

10.29040/jiei.v7i2.2368 ◽

2021 ◽

Vol 7 (2) ◽

Author(s):

Rindani Dwihapsari ◽

Mega Rachma Kurniaputri ◽

Nurul Huda

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Forecast Error ◽

Impulse Response Function ◽

Transmission Mechanism ◽

Average Yield ◽

Monetary Policy Transmission ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism ◽

The Interest Rate

This scientific research was conducted to see the effect and how the effectiveness of the monetary policy transmission mechanism from both conventional and sharia perspectives to tackle inflation in 2013-2020. The conventional monetary policy transmission mechanism can be seen from the total conventional bank credit (LOAN), the interest rate on Bank Indonesia Certificates (SBI), and the average yield on Government Securities (SUN). Meanwhile, sharia monetary policy can be seen from the yield rates on Bank Indonesia Sharia Certificates (SBIS), total Islamic bank financing (FINC) and the average yield of State Sharia Securities (SBSN). Through the Vector Error Correction Model method, it is found that the SBI results have a significant negative effect so that if the interest rate increases by one percent it will reduce inflation. Unlike the case with the effectiveness as measured by the Impulse Response Function (IFR) and Forecast Error Variance Decomposition (FEVD), where conventional monetary policy is fast in controlling the inflation rate compared to Islamic monetary policy. However, the magnitude of Islamic monetary policy is greater than conventional monetary policy.

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Monetary Policy Transmission Mechanism in Namibia: A Bayesian VAR Approach

Journal of Economics and Behavioral Studies ◽

10.22610/jebs.v9i5.1921 ◽

2017 ◽

Vol 9 (5) ◽

pp. 169-184

Author(s):

Johannes PS Sheefeni

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rate ◽

Asset Price ◽

Transmission Mechanism ◽

Real Effective Exchange Rate ◽

Series Data ◽

Monetary Policy Transmission ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism

This study analyzed the interest rate channel, credit channel, exchange rate channel and asset price channel for monetary policy transmission mechanism in Namibia. The idea behind this study is to have a comprehensive study that covers a variety of channels for monetary policy transmission mechanism. The study utilized a Bayesian vector autoregression (BVAR) technique on quarterly time-series data covering the period 2000:Q1 to 2016:Q4. In particular, the validity of the data used is checked and verified by using two sets of prior distributions suggested by Sims and Zha as well as prior distribution of Koop and Korobilis. The variables used in this study are real output (Yt), real effective exchange rate (Et), inflation rate (P t), repo rate (Rt), housing price index (Ht) and credit extended to private sector (Lt). The findings revealed that interest rate and credit channels remain important in the transmission mechanism to this day. Notably the exchange rate and asset price channels are also slowly gaining prominence in monetary policy transmission mechanism. Therefore, the study provides useful information to the monetary authorities regarding the process of transmission mechanisms. This is quite important especially that the Central Bank (Bank of Namibia) is very serious about financial stability within the financial system, given the fragility of the financial systems in the world due to financial crisis.

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Sukuk and monetary policy transmission in Indonesia: the role of asset price and exchange rate channels

Journal of Islamic Accounting and Business Research ◽

10.1108/jiabr-09-2019-0177 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Suriani Suriani ◽

M. Shabri Abd. Majid ◽

Raja Masbar ◽

Nazaruddin A. Wahid ◽

Abdul Ghafar Ismail

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rates ◽

Asset Price ◽

Transmission Mechanism ◽

Monetary Policy Transmission ◽

Content Type ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism

Purpose The purpose of this study is to empirically analyze the role of sukuk in the monetary policy transmission mechanism through the asset price and exchange rate channels in the Indonesian economy. Design/methodology/approach Using the monthly data from January 2003 to November 2017, this study uses a multivariate vector error correction model causality framework. To examine the role of sukuk in the monetary policy transmission mechanism through the asset price channel, this study uses the variables of consumption, inflation, interest rates, economic growth and the composite stock price index. Meanwhile, to examine the role of sukuk in the monetary policy transmission mechanism through the exchange rate channel, this study used variables of inflation, interest rates, economic growth, foreign investment and exchange rate. Findings This study documented that sukuk has no causal relationship with inflation through asset price and exchange rate channels. Nevertheless, sukuk has a bidirectional causal relationship with economic growth through asset price and exchange rate channels. Sukuk is also documented to have a causal relationship with monetary policy variables of interest rate and stock prices through asset price and exchange rate channels. Finally, a unidirectional causality is recorded running from the exchange rate to sukuk in the exchange rate channel. Research limitations/implications The finding of independence of the sukuk market from interest rates provides evidence that the trading of the sukuk in Indonesia has been in harmony with the Islamic tenets. Practical implications The relevant Indonesian authorities need to enhance both domestic and global sukuk markets as part of efforts to promote the sustainability of Islamic capital market development in Indonesia. Originality/value To the best of the authors’ knowledge, this study is among the first attempts to empirically investigate the role of sukuk in monetary policy transmission through asset price and exchange rate channels in the context of the Indonesian economy.

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