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Taylor Principle under Inflation Targeting in Emerging ASEAN Economies: GMM and DSGE Approaches

Author

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  • Hiroyuki Taguchi
  • Kenichi Tamegawa
  • Mesa Wanasilp

Abstract

This paper aims to reassess the performances of inflation targeting adopted by emerging ASEAN countries, Indonesia, the Philippines and Thailand, by examining their monetary policy rules, both through generalized-method-of-moments (GMM) estimations of policy reaction functions and through Bayesian estimations of the New Keynesian dynamic-stochastic-general-equilibrium (DSGE) model. The main findings are summarized as follows. First, the GMM estimations identified inflation-responsive rules fulfilling the Taylor principle, with a forward-looking manner in Indonesia and Thailand and with a contemporaneous way in the Philippines. Second, the Bayesian estimations of the New Keynesian DSGE could reassure the GMM estimation results, as the former estimations produced consistent outcomes with the latter ones on the policy rate reactions to inflation with the Taylor principle.

Suggested Citation

  • Hiroyuki Taguchi & Kenichi Tamegawa & Mesa Wanasilp, 2020. "Taylor Principle under Inflation Targeting in Emerging ASEAN Economies: GMM and DSGE Approaches," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 35-47.
    • Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:35-47
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    Cited by:

    1. Hiroyuki Taguchi & Ganbayar Gunbileg, 2020. "Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches," IJFS, MDPI, vol. 8(4), pages 1-16, November.
    2. Taguchi, Hiroyuki, 2020. "Monetary Policy Rule and Taylor Principle by GMM and DSGE Approaches: The Case of Mongolia," MPRA Paper 104182, University Library of Munich, Germany.

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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