EVIDENCE ON MONETARY POLICY TRANSMISSION DURING TRANQUIL AND TURBULENT PERIODS
This paper evaluates monetary policy transmission in both tranquil and turbulentperiods for Mexico, Indonesia, Nigeria, and Turkey. Using a structural vectorautoregressive model, we find that the effect of structural shocks from supply, demand,and financial sources tend to fizzle out faster for Nigeria and Mexico compared toIndonesia and Turkey. Another important finding is that while monetary authoritiesin Indonesia and Turkey are more responsive to inflation those in Mexico and Nigeriaare more influenced by the exchange rate. We also observe differences in the conductof monetary policy between the tranquil and turbulent periods.
Policy in Indonesia. Bulletin of Monetary Economics and Banking, 14, 3, 1-3.
Beju, D. and Ciupac-Ulici, M. (2015). Taylor Rule in Emerging Countries: Romanian
Case. Procedia Economics and Finance, 32, 1122-1130.
Binici, M., Kara, H. and Özlü, P. (2019). Monetary Transmission with Multiple
Policy Rates: Evidence from Turkey. Applied Economics, 51, I 17, 1869-1893.
Chen, C., Yao, S. and Ou, J. (2017). Exchange Rate Dynamics in A Taylor Rule
Framework. J. Int. Financ. Markets Inst. Money, 46, 158-173.
Egea, B.F and Hierro L. (2019). Transmission of Monetary Policy in the US and
EU in Times of Expansion and Crisis. Journal of Policy Modelling, 41, 4, 763-783.
Froyen, R.T. and Guender, A.V. (2017). The Real Exchange Rate in Taylor Rules: A
Re-Assessment. Economic Modelling, 1-12.
Hutabarat, A.R. (2011). Monetary Transmission of Persistent Shock to the Risk
Premium: The Case of Indonesia. Bulletin of Monetary Economics and Banking,
13, 4, 1-36.
Jannsen, N., Potjagailo G. and M. Wolters (2015). Monetary Policy During Financial
Crisis: Is transmission Mechanism Impaired? Economics Working Papers, 2015-4,
Christian-Albrechts-University of Kiel, Department of Economics.
Mishkin, F.S. (2017). Rethinking Monetary Policy After the Crisis. Journal of
International Money and Finance, 73, 252-274.
Narayan, P.K. and Liu, R. (2015). A Unit Root Model for Trending Time-Series
Energy Variables. Energy Econ. 50, 391– 402.
Ngan, T. (2018). The Long-Run Analysis of Monetary Policy Transmission
Channels on Inflation: A VECM Approach. Journal of the Asia Pacific Economy,
17-30, DOI: https://doi.org/10.1080/13547860.2018.1429199
Papadamou, S., Sidiropoulos, M. and Spyromitros, E. (2015). Central Bank
Transparency and The Interest Rate Channel: Evidence From Emerging
Economies. Economic Modelling, 48, 167-174.
Taylor, J. B. (1993). Discretion Versus Policy Rules in Practice. Carnegie-Rochester
Conference Series on Public Policy, 39, 195–214.
Taylor, J. B. (1999). Monetary Policy Rules. Chicago: University of Chicago Press.
Taylor, J. (2001). The Role of Exchange Rates in Monetary Policy Rules. American
Association Papers and Proceedings, 91, 263-267.
Wulandari, R. (2012). Do Credit Channel and Interest Rate Channel Play Important
Role in Monetary Transmission Mechanism in Indonesia? A Structural Vector
Autoregression Model. Procedia – Behavioural Sciences, 65, 557-563.
Yagihashi, T. (2011). Estimating Taylor Rules in a Credit Channel Environment.
North American Journal.
Copyright (c) 2019 Buletin Ekonomi Moneter dan Perbankan
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.