文章基本信息

标题：The effectiveness of monetary policy transmission under capital inflows: Evidence from Asia
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作者：Sonali Jain-Chandra ; D. Filiz Unsal
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2014
卷号：14
期号：2
页码：1-8
DOI：10.1016/j.bir.2014.03.002
出版社：Elsevier B.V.
摘要：The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging Asia's economies. Using a dynamic factor model and a structural vector autoregression model, we show that long-term interest rates in Asia are indeed predominantly driven by global factors. However, monetary policy transmission mechanism remains effective in the region, as it operates predominantly through short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows.
关键词：Monetary policy transmission ; Capital flows ; Dynamic factor model ; Structural VAR