Currency Regime and Monetary Autonomy
AbstractThis paper analyzes the exchange rate regimes from the perspective of monetary independence through examining the sensitivity of the domestic interest rate to the international interest rate under different regimes. To be specific, by using recent and global data, we first examine co-integration relationship between domestic and international interest rates to capture the long-run transmission, and then estimate adjustment speeds in the transmission process of interest rates by using an error-correction model. Our estimation results basically support the traditional views of the impossible trinity. The floating regime shows the less sensitivity of the domestic interest rate to the international interest rate than the fixed regimes, with the lack of co-integration relationship or the slower adjustment speed. The result implies some capacity for domestic monetary autonomy under the floating regime. The hard peg regime, however, does not represent the fastest adjustment speed, which might reflect the existence of the restrictions on capital flows in its sample cases.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by East Asian Bureau of Economic Research in its series Finance Working Papers with number 23076.
Date of creation: Jan 2009
Date of revision:
Contact details of provider:
Postal: JG Crawford Building #13, Asia Pacific School of Economics and Government, Australian National University, ACT 0200
Web page: http://www.eaber.org
More information through EDIRC
exchange rate arrangement; monetary autonomy; co-integration; error correction analysis;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kim, Soyoung & Yang, Doo Yong, 2009. "International Monetary Transmission and Exchange Rate Regimes: Floaters vs. Non-Floaters," ADBI Working Papers 181, Asian Development Bank Institute.
- Guillermo A. Calvo & Carmen M. Reinhart, 2000.
"Fear of Floating,"
NBER Working Papers
7993, National Bureau of Economic Research, Inc.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Kaddour Hadri, 1999.
"Testing For Stationarity In Heterogeneous Panel Data,"
1999_04, University of Liverpool Management School.
- Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Kawai, Masahiro, 2002. "Exchange Rate Arrangements in East Asia: Lessons from the 1997-98 Currency Crisis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(S1), pages 167-204, December.
- Reinhart, Carmen & Calvo, Guillermo, 2001.
"Fixing for your life,"
13873, University Library of Munich, Germany.
- Jaroslava Hlouskova & Martin Wagner, 2006.
"The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study,"
Taylor and Francis Journals, vol. 25(1), pages 85-116.
- Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft.
- Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers ECO2005/05, European University Institute.
- Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
- Hiroyuki Taguchi & Chizuru Kato, 2010.
"Assessing the Performance of Inflation Targeting in East Asian economies,"
Macroeconomics Working Papers
23078, East Asian Bureau of Economic Research.
- Hiroyuki Taguchi & Chizuru Kato, 2011. "Assessing the performance of inflation targeting in East Asian economies," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, vol. 25(1), pages 93-102, 05.
- Hiroyuki Taguchi & Woong-Ki Sohn, 2010. "Inflation Targeting and Pass-through Rate in East Asian Economies," Macroeconomics Working Papers 23115, East Asian Bureau of Economic Research.
- Yu Hsing, 2012. "Exchange Rate Arrangements and Monetary Autonomy in Fourteen Selected Asian and Pacific Countries," Economics Bulletin, AccessEcon, vol. 32(2), pages 1731-1736.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shiro Armstrong).
If references are entirely missing, you can add them using this form.