A Monetary Policy Rule: The Augmented Monetary Conditions Index: On the Asean-Five - Couverture souple

Poon, Wai-Ching

 
9783847342618: A Monetary Policy Rule: The Augmented Monetary Conditions Index: On the Asean-Five
Couverture souple
ISBN 10 : 3847342614 ISBN 13 : 9783847342618
Editeur : LAP LAMBERT Academic Publishing, 2012

Synopsis

Previous studies suggested Monetary Conditions Index (hereafter MCI) serves as an indicator of the monetary policy stance to capture the degree of tightness of the monetary policy. The weights of the MCI in the model reflect long-term effects of the interest rate and the exchange rate on the economic activity. Nevertheless, MCIs may not be used as an operational target as it is not resilient to shock identification. Recognizing the caveats upon its usage empirically, the augmented MCI (AMCI) is contemplated by incorporating other informative variables into the conventional model. Since monetary policy affects the price level through a number of transmission mechanisms, other variables need to be incorporated to AMCI to account for possible channels in the transmission mechanisms. First, the weight of the AMCI is estimated, and the lag effect on the real GDP is identified using Autoregression Distribution Lags (ARDL) approach. Bounds test reveals evidence of cointegration for ASEAN-Five countries. Results reveal that AMCI tracks the inverse movements of the real GDP plausibly well on average, except during the onset of 1997/98 Asian Financial Crisis.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Previous studies suggested Monetary Conditions Index (hereafter MCI) serves as an indicator of the monetary policy stance to capture the degree of tightness of the monetary policy. The weights of the MCI in the model reflect long-term effects of the interest rate and the exchange rate on the economic activity. Nevertheless, MCIs may not be used as an operational target as it is not resilient to shock identification. Recognizing the caveats upon its usage empirically, the augmented MCI (AMCI) is contemplated by incorporating other informative variables into the conventional model. Since monetary policy affects the price level through a number of transmission mechanisms, other variables need to be incorporated to AMCI to account for possible channels in the transmission mechanisms. First, the weight of the AMCI is estimated, and the lag effect on the real GDP is identified using Autoregression Distribution Lags (ARDL) approach. Bounds test reveals evidence of cointegration for ASEAN-Five countries. Results reveal that AMCI tracks the inverse movements of the real GDP plausibly well on average, except during the onset of 1997/98 Asian Financial Crisis.

Biographie de l'auteur

Poon Wai-Ching is a Senior Lecturer in the Economics Department at Monash University Sunway Campus. She is the recepient of several scholarly awards, and she also publishes in international refereed journals and presents in international conferences. She is a member of the Editorial Reviewer Board of Corporate Governance: An International Review.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2012
Langue
anglais
ISBN 10 
3847342614
ISBN 13 
9783847342618
Reliure
Broché
Nombre de pages
160
Coordonnées du fabricant
non disponible
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