A VAR analysis of the effects of monetary policy in East Asia
AbstractIn this paper, a VAR model is used to study the effects of monetary policy shocks in seven East Asian economies. For each economy, the same identification scheme is imposed and the dynamic responses to a monetary shock are examined in the light of the predictions of monetary theory. The results suggest that the VAR model produces sensible impulse response functions for most of the economies, especially for the sample that ends before the 1997 Asian financial crisis. Given the openness of these economies, the exchange rate plays a significant role in the formulation of monetary policy. In order to capture explicitly the importance of the exchange rate in these economies, plausible weights are also imposed on the exchange rate to identify the model.
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Bibliographic InfoPaper provided by Bank for International Settlements in its series BIS Working Papers with number 119.
Length: 29 pages
Date of creation: Sep 2002
Date of revision:
VAR; monetary policy shocks; East Asia;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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