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1 – 10 of over 1000Christina Anderl and Guglielmo Maria Caporale
The article aims to establish whether the degree of aversion to inflation and the responsiveness to deviations from potential output have changed over time.
Abstract
Purpose
The article aims to establish whether the degree of aversion to inflation and the responsiveness to deviations from potential output have changed over time.
Design/methodology/approach
This paper assesses time variation in monetary policy rules by applying a time-varying parameter generalised methods of moments (TVP-GMM) framework.
Findings
Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries with alternative monetary regimes (the US, Japan, Denmark, the Euro Area, Switzerland), we find that monetary policy has become more averse to inflation and more responsive to the output gap in both sets of countries over time. In particular, there has been a clear shift in inflation targeting countries towards a more hawkish stance on inflation since the adoption of this regime and a greater response to both inflation and the output gap in most countries after the global financial crisis, which indicates a stronger reliance on monetary rules to stabilise the economy in recent years. It also appears that inflation targeting countries pay greater attention to the exchange rate pass-through channel when setting interest rates. Finally, monetary surprises do not seem to be an important determinant of the evolution over time of the Taylor rule parameters, which suggests a high degree of monetary policy transparency in the countries under examination.
Originality/value
It provides new evidence on changes over time in monetary policy rules.
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Emna Trabelsi and Asma Ben Khaled
The implementation of monetary policy by the central bank is an ongoing topic of discussion. This paper aims to explore monetary policy transmission shocks in times of uncertainty…
Abstract
Purpose
The implementation of monetary policy by the central bank is an ongoing topic of discussion. This paper aims to explore monetary policy transmission shocks in times of uncertainty using the new World uncertainty index (WUI). The authors investigate the impact of crises, wars and pandemic shocks on selected macroeconomic variables.
Design/methodology/approach
The authors use unit root tests, structural vector autoregressive model and the Granger causality test according to Toda–Yamamoto with quarterly data over 1999–2022.
Findings
The results of this study show that in the short run, there is a unidirectional relationship between the money market rate and WUI, while the relationship between the latter and the money supply (M2) is bidirectional. The short-term effect runs from WUI to inflation. In the long run, the variance decomposition shows that global uncertainty explains around 12% of inflation pressures. The uncertainty caused by special events in the world creates positive shocks on inflation in Tunisia, which decreases the ability of the central bank to control inflation.
Research limitations/implications
The results have implications over necessary and urgent actions to be implemented for a progressive economic recovery but point to a necessary transition to an inflation-targeting regime.
Originality/value
Examining monetary policy under uncertainty is a recent phenomenon. The authors purposely use a novel WUI by Ahir et al. (2022) that is unexploited in literature.
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Paul Owusu Takyi, Daniel Sakyi, Hadrat Yusif, Grace Nkansa Asante, Anthony Kofi Osei-Fosu and Gideon Mensah
This paper explores the implications of financial inclusion and financial development for the conduct of monetary policy in achieving price stability and economic growth in…
Abstract
Purpose
This paper explores the implications of financial inclusion and financial development for the conduct of monetary policy in achieving price stability and economic growth in sub-Saharan Africa (SSA).
Design/methodology/approach
The paper employs the system-generalized methods of moment (GMM) estimation technique using panel data spanning 2004 to 2019 and sourced from Databases of (International Monetary Fund's) IMF's Financial Access Survey (FAS), IMF's International Financial Statistics (IFS), World Bank's Global Financial Development Database (GFDD) and World Bank's World Development Indicators (WDI).
Findings
The authors find that financial inclusion has a double-edge effect in SSA. That is, it increases economic growth and lowers inflation in SSA. Furthermore, the results show that a simultaneous increase in financial inclusion and financial development have restrictive effects on economic growth. On the evidence provided, the authors conclude that financial inclusion is an important predictor of economic growth and the conduct of monetary policy in the sub-region.
Originality/value
This paper expands and contributes to the frontier of knowledge how financial inclusion is important for the conduct of monetary policy by monetary authorities in achieving its intended objectives in SSA. The paper highlights the need for ongoing enhancement of financial inclusion of many governments in the sub-region to achieving high economic growth and price stability. Thus, there is the need for policy makers to ensure that a more stringent, effective and appropriate policies and measures are put in place to enhance financial inclusion while taking into consideration the extent of financial development in SSA.
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Françoise Okah Efogo and Boniface Ngah Epo
This paper appraises the effects of monetary policy on trade in value-added (TiVA) using a panel of 38 developing countries spanning the period 1990 to 2019. Specifically, the…
Abstract
Purpose
This paper appraises the effects of monetary policy on trade in value-added (TiVA) using a panel of 38 developing countries spanning the period 1990 to 2019. Specifically, the authors subsequently summon the theory of trade in intermediate products within the New Keynesian framework for open economies that comprises price rigidity to verify this relationship and thereon control for robustness by correcting for endogeneity and unbalanced panel effect.
Design/methodology/approach
The authors mobilize the within estimator corrected for cross sectional dependence as well as the two-stage-least squares fixed effect estimator which corrects for endogeneity. For robustness, the authors also use the Hausman–Taylor estimator to control for endogeneity and random effects in annualized data and the least squares dummy variable corrected estimator.
Findings
Results suggest that the monetary policy instruments such as inflationary gaps and anticipatory inflationary outcomes significantly affect TiVA in developing countries only in the short term with no long-term effect. In addition to contributing to the scanty empirical literature, the authors provide relevant insights on monetary policy tools that can be mobilized in fashioning a global value chain penetration and upgrading strategies.
Originality/value
The authors convoke the theory of trade in intermediate products casted into the New Keynesian framework comprising price rigidity to verify the relationship between TiVA and monetary policy (b) verify for robustness by correcting for endogeneity and unbalanced panel effect.
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Bryane Michael and Viktoria Dalko
The authors aim to look at the conditions under which central bank easing – and specifically the purchase of private sector securities – can/should contribute to growth, rather…
Abstract
Purpose
The authors aim to look at the conditions under which central bank easing – and specifically the purchase of private sector securities – can/should contribute to growth, rather than fiscal policy and also ask when can the central bank’s purchase of private sector securities help supplant traditional monetary policy.
Design/methodology/approach
After surveying the existing literature, the authors use simple correlation of central bank private asset (stocks, bonds, etc.), interest rates, gross domestic product (GDP) growth, inflation and the extent of the functioning of domestic banking sectors (among others) to classify countries in which these purchases promote pro-growth investment.
Findings
Under the typical conditions for unconventional monetary policy, central bank purchases of private companies’ securities can promote growth in some places (like Bulgaria, the Ukraine, Georgia and Greece at the time of our writing) while hurting it in others (like in parts of Latin America and Africa in the mid-2010s). The authors find how such purchases effectively “bypass” dysfunctional banking systems and central/government local bodies fiscal spending, making the central bank the “funder of last resort” in many middle and lower income countries.
Practical implications
This paper tells specific central banks to ramp up – or reduce – their purchases of private sector securities. The authors identify exact jurisdictions where such “helicopter money” has led to investment in the past economic growth.
Originality/value
All previous work on conventional and unconventional monetary policy has looked at the way monetary policy affects investment and growth through the banking system and holding companies’ reactions constant. The authors do the opposite – looking at how companies respond, holding banking system responses constant. No one has ever looked at these private purchases (taken from a special IMF database), much less tried to argue that central banks can sometimes target investment growth much better than fiscal policy. No one has ever considered them as a funder (rather than lender) of last resort.
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Evelina Kvedaravičiūtė and Alfreda Šapkauskienė
We aim to conduct a bibliometric analysis that explores and maps quantitative data of the emerging field of central bank digital currencies in science and its implications in…
Abstract
Purpose
We aim to conduct a bibliometric analysis that explores and maps quantitative data of the emerging field of central bank digital currencies in science and its implications in practice. We seek to clarify the underlying research structures and streams of the new phenomena, and our motivation is the rising number of pilots between governments seeking to implement different types of central bank digital currency.
Design/methodology/approach
We designed the unique set of keywords to explore ongoing projects on central bank digital currencies and the evolution of scientific thought on the topic. We conducted a descriptive analysis and an evaluating bibliometric analysis on the timeline from 2018 to April 18, 2023 and investigated 76 articles in the Web of Science database and 152 articles in the Scopus database using VOSviewer.
Findings
We highlight three main directions of discourse on central bank digital currencies in economics using authors keyword analysis, that are: (1) cash, (2) monetary policy and (3) financial stability. We conducted a map-based text analysis of the abstracts and identified the following main streams of discussion in the field: (1) policy-related research on financial systems, (2) a comprehensive review of the design and features of central bank digital currencies and (3) research on the impact of central bank digital currencies on the banking system.
Originality/value
The unique set of keywords allows us to continue the discourse on central bank digital currencies including implications of ongoing governmental projects on the topic and provide directions for future research. We brought the focus on the impact of central bank digital currencies on the banking sector and the new possible order for cash, deposits and payments.
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Thang Ngoc Doan, Dong Phu Do and Dat Van Luong
This paper analyzes the effects of the monetary stance on the media's favorable (or otherwise) attitude to the State Bank of Vietnam's (SBV) monetary policy using monthly data…
Abstract
Purpose
This paper analyzes the effects of the monetary stance on the media's favorable (or otherwise) attitude to the State Bank of Vietnam's (SBV) monetary policy using monthly data from 2011 to 2021. Monetary stance is a multivariate index based on the growth rates of money supply and domestic credit. A large set of articles published in five Vietnam daily newspapers are utilized to construct a view of the media's favorableness to the monetary policy.
Design/methodology/approach
This paper uses hand-collected data from 211 articles published in five newspapers from December 2011 to September 2021 in order to examine the relationship between the monetary stance and the media's favorableness to monetary policy. Following the studies of He and Pauwels (2008) and Xiong (2012), the authors constructed a multivariate stance index to capture most of the important changes in the SBV's monetary policy stance.
Findings
The study's main findings are that a change in monetary stance from easing to neutral/tightening, or from neutral to tightening, is greatly appreciated by the media. The study's findings are robust, especially in terms of alternative measures of the media's favorableness and monetary policy variables.
Research limitations/implications
These findings have important policy implications for implementing SBV's monetary policy.
Originality/value
The main contribution of this paper is that the authors are the first to study the nexus of multivariate monetary stance and the media's favorableness to a central bank's non-inflation-targeting mandate. In particular, the study’s findings confirm that the SBV's multivariate monetary stance affects the media's favorableness, whereas the effect of inflation is statistically insignificant.
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Hail Park, Jong Chil Son and Wenbo Wang
This study empirically aims to analyze the transmission of monetary policy in consideration of asymmetry based on the Bank of the Lao PDR (BOL)'s monetary policy tools and real…
Abstract
Purpose
This study empirically aims to analyze the transmission of monetary policy in consideration of asymmetry based on the Bank of the Lao PDR (BOL)'s monetary policy tools and real and financial variables in the domestic market.
Design/methodology/approach
This study adopts two approaches, conventional vector autoregression (VAR) and asymmetric VAR, to investigate the impact of monetary policy on macroeconomic variables including inflation and real GDP growth in the Lao PDR.
Findings
Under a highly dollarized monetary regime, the policy rate change plays a weaker role compared with M0, which exerts significantly positive effects on real GDP growth and inflation. The results of the asymmetric VAR model further substantiate that the real economy responds to a positive M0 shock (easing monetary policy) rather than a negative shock (tightening monetary policy).
Practical implications
Overall estimation results suggest that the effectiveness of monetary policy is limited in Laos, which would take priority over efforts to strengthen the development of the short-term financial market and de-dollarization.
Originality/value
This study can fill the gap in the literature in which the discussions on the transmission mechanism of monetary policy in the BOL's monetary policy are still little known.
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Cengiz Tunc and Ali Gunes
This study aims to focus on two-way interaction between monetary policy and house prices in emerging economies.
Abstract
Purpose
This study aims to focus on two-way interaction between monetary policy and house prices in emerging economies.
Design/methodology/approach
This study uses panel structural vector autoregressive model.
Findings
The results show that real house prices decrease in response to a contractionary monetary policy shock. However, relative to advanced economies, the reaction of the prices is limited in emerging economies, pointing out the structural differences in emerging economies including the small size of the mortgage market and the lack of a well-functioning secondary market in housing finance. This study further finds that monetary policy is tightened in response to a positive shock to house prices. However, this response is also weak when compared to that response in advanced economies.
Research limitations/implications
These findings suggest that house price developments should not be prior target for monetary policies in emerging economies unless they become problem for financial stability or inflationary concerns.
Originality/value
Using a sample of inflation targeting emerging countries, this study contributes to the literature by conducting both panel setting and single-country analysis to explore the two-way dynamic relationships between the monetary policy and housing market in emerging economies.
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Juan Carlos Cuestas, Luis A. Gil-Alana and María Malmierca
In particular, in this article, the authors investigate the degree of persistence in the credit-to-gross domestic product (GDP) ratio in 44 Organisation for Economic Co-operation…
Abstract
Purpose
In particular, in this article, the authors investigate the degree of persistence in the credit-to-gross domestic product (GDP) ratio in 44 Organisation for Economic Co-operation and Development (OECD) economies in the context of nonlinear deterministic trends.
Design/methodology/approach
The authors use Chebyshev's polynomials in time, which allow us to model changes in the data in a smoother way than by structural breaks.
Findings
This study’s results indicate that approximately one-quarter of the series display non-linear structures, and only Argentina displays a mean reverting pattern.
Research limitations/implications
Policy implications of the results obtained are discussed at the end of the manuscript.
Originality/value
The authors use an approach developed that allows for non-linear trends based on Chebyshev polynomials in time, with the residuals being fractionally integrated or integrated of order d, where d can be any real value.
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