Some Implications For Monetary Policy Of Uncertain Exchange Rate Pass Through
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Some Implications For Monetary Policy Of Uncertain Exchange Rate Pass Through
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Author : Mr.Benjamin Hunt
language : en
Publisher: International Monetary Fund
Release Date : 2003-03-04
Some Implications For Monetary Policy Of Uncertain Exchange Rate Pass Through written by Mr.Benjamin Hunt and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-04 with Business & Economics categories.
The paper uses MULTIMOD to examine the implications of uncertain exchange rate pass-through for the conduct of monetary policy. From the policymaker's perspective, uncertainty about exchange rate pass-through implies uncertainty about policy multipliers and the impact of state variables on stabilization objectives. When faced with uncertainty about the strength of exchange rate pass-through, policymakers will make less costly errors by overestimating the strength of pass-through rather than underestimating it. The analysis suggests that pass-through uncertainty of the magnitude considered does not result in efficient policy response coefficients that are smaller than those under certainty.
Market Volatility And Foreign Exchange Intervention In Emes
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Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
language : es
Publisher:
Release Date : 2013
Market Volatility And Foreign Exchange Intervention In Emes written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Banks and banking, Central categories.
The Consequences Of Policy Uncertainty
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Author : Sandile Hlatshwayo
language : en
Publisher: International Monetary Fund
Release Date : 2016-09-23
The Consequences Of Policy Uncertainty written by Sandile Hlatshwayo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-23 with Business & Economics categories.
In recent years, the link between the real effective exchange rate (REER) and exports in South Africa has weakened. While exports still rise in response to REER depreciations, the REER-export elasticity is below historical estimates. The literature has put forward a number of possible explanations, from multi-national supply-chains to muted exchange rate pass-through. This research explores the role of policy uncertainty in reducing the responsiveness of exports to relative price changes. We construct a novel “news chatter” measure of policy uncertainty and examine how it, paired with other supply-side constraints, can improve our understanding of export performance. We find that increased policy uncertainty diminishes the responsiveness of exports to the REER and has short and long-run level effects on export performance. Finally, we show that a measure of competitiveness that adjusts for uncertainty and supply-side constraints greatly outperforms the REER in tracking exports performance.
Non Linear Time Series Models In Empirical Finance
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Author : Philip Hans Franses
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-27
Non Linear Time Series Models In Empirical Finance written by Philip Hans Franses and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-27 with Business & Economics categories.
This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Monetary Policy Credibility And Exchange Rate Pass Through In South Africa
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Author : Alain N. Kabundi
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-30
Monetary Policy Credibility And Exchange Rate Pass Through In South Africa written by Alain N. Kabundi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-30 with Business & Economics categories.
This paper investigates the key factors that explain the documented decline in the exchange rate pass-through in South Africa over the past two decades, which coincides with the adoption of the inflation-targeting regime. The paper conjectures, in line with the literature, that this outcome is largely due to improved monetary policy credibility. To do this, it first documents the factors that explain monetary policy credibility. Using the standard deviation of individual inflation forecasts as a measure of monetary policy credibility, its shows that the latter is negatively affected by the level of inflation itself, monetary policy uncertainty, and a measure of the unobserved stochastic volatility of inflation. The second phase proceeds by analyzing the determinants of the pass-through using the monetary policy credibility index derived from the first phase. The paper confirms the remarkable achievement that, despite the many shocks that the economy has witnessed, the declining pass-through is indeed explained by the improving monetary policy credibility.
Two Targets Two Instruments
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Author : Mr.Jonathan David Ostry
language : en
Publisher: International Monetary Fund
Release Date : 2012-02-29
Two Targets Two Instruments written by Mr.Jonathan David Ostry and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-29 with Business & Economics categories.
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Inflation In Emerging And Developing Economies
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Author : Jongrim Ha
language : en
Publisher: World Bank Publications
Release Date : 2019-01-03
Inflation In Emerging And Developing Economies written by Jongrim Ha and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-03 with Business & Economics categories.
This is the first comprehensive study in the context of EMDEs that covers, in one consistent framework, the evolution and global and domestic drivers of inflation, the role of expectations, exchange rate pass-through and policy implications. In addition, the report analyzes inflation and monetary policy related challenges in LICs. The report documents three major findings: In First, EMDE disinflation over the past four decades was to a significant degree a result of favorable external developments, pointing to the risk of rising EMDE inflation if global inflation were to increase. In particular, the decline in EMDE inflation has been supported by broad-based global disinflation amid rapid international trade and financial integration and the disruption caused by the global financial crisis. While domestic factors continue to be the main drivers of short-term movements in EMDE inflation, the role of global factors has risen by one-half between the 1970s and the 2000s. On average, global shocks, especially oil price swings and global demand shocks have accounted for more than one-quarter of domestic inflation variatio--and more in countries with stronger global linkages and greater reliance on commodity imports. In LICs, global food and energy price shocks accounted for another 12 percent of core inflation variatio--half more than in advanced economies and one-fifth more than in non-LIC EMDEs. Second, inflation expectations continue to be less well-anchored in EMDEs than in advanced economies, although a move to inflation targeting and better fiscal frameworks has helped strengthen monetary policy credibility. Lower monetary policy credibility and exchange rate flexibility have also been associated with higher pass-through of exchange rate shocks into domestic inflation in the event of global shocks, which have accounted for half of EMDE exchange rate variation. Third, in part because of poorly anchored inflation expectations, the transmission of global commodity price shocks to domestic LIC inflation (combined with unintended consequences of other government policies) can have material implications for poverty: the global food price spikes in 2010-11 tipped roughly 8 million people into poverty.
Estimating And Interpreting Forward Interest Rates
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Author : Mr.Lars E. O. Svensson
language : en
Publisher: International Monetary Fund
Release Date : 1994-09-01
Estimating And Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-09-01 with Business & Economics categories.
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Non Linear Exchange Rate Pass Through In Emerging Markets
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Author : Francesca G Caselli
language : en
Publisher: International Monetary Fund
Release Date : 2016-01-05
Non Linear Exchange Rate Pass Through In Emerging Markets written by Francesca G Caselli and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-05 with Business & Economics categories.
This paper estimates exchange rate pass-through to consumer prices in emerging markets focusing on non-linearities and asymmetries. We document non-linearities and asymmetries in the transmission of exchange rate fluctuations to prices using local projection techniques to obtain state dependent impulse responses in a panel of 28 emerging markets. We find significant evidence of non-linearities during episodes of depreciation greater than 10 and 20 percent. More specifically, we find that, after one month, the exchange rate pass-through coefficient is equal to 18 and 25 percent respectively, compared to a coefficient of 6 percent in the linear case. We also investigate the role of temporary vs. permanent shocks and the adoption of an inflation targeting regime in the transmission from exchange rate movements to prices. We perform a set of robustness checks, addressing the presence of outliers and potential endogeneity concerns.
Open Economy Macrodynamics
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Author : Toichiro Asada
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-11-10
Open Economy Macrodynamics written by Toichiro Asada and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-10 with Business & Economics categories.
In the first part of this book, we treat interacting and small open economies. We do this from an historical perspective, starting from the Classical model of the gold standard and the specie-flow mechanism and aim to show there that the Dornbusch IS-LM-PC approach, with or without rational expectations, can still be considered as a (if not the) core contribution to contemporaneous open economy macrodynamics, also on the level of structural macroeconometric model building. In the second part we then extend this analysis to the incorporation of more disequilibrium on the real markets, prominent further feedback channels of the macrodynamic literature and integrated macromodel building. We start from the closed economy, consider large open economies in a fixed exchange rate system, small open economies subject to high capital mobility, and finally two large interacting economies like the USA and Euroland. Our macrofounded approach extends and integrates non-market clearing traditions to macrodynamics and can be usefully compared with the New Keynesian approaches which are generally rigorously microfounded, but often much more limited in scope in capturing full market and agent interactions.