VAR Analysis of Monetary Policy Transmission Mechanisms: Empirical Study on Five Asian Countries after the Asian Crisis
VAR Analysis of Monetary Policy Transmission Mechanisms: Empirical Study on Five Asian Countries after the Asian Crisis
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货币政策传导机制的VAR分析：亚洲危机后亚洲五国的实证研究
DOI：
10.18999/forids.25.39
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Waranya Atchariyachanvanich
中科院分区：
文献类型：
--
作者：
Waranya Atchariyachanvanich
本文运用VAR方法对亚洲金融危机后印尼、韩国、马来西亚、菲律宾和泰国的货币政策传导机制进行了实证分析。为了解决以往应用递归Choleski分解的研究中经常出现的“价格之谜“，本文提出基于系统变量之间的经验格兰杰因果关系和协整关系，对创新系数矩阵设置识别约束。实证研究的结果证实了递归方案的优越性，在系统中的内生变量对利率扰动的脉冲响应的困惑迹象较少。尽管ASIA-5各国经济结构不同，但在模型中资产价格相对代表了所有变量中对利率冲击最敏感的变量，但其脉冲响应函数的符号存在疑问。第二个最敏感的变量是产出，其次分别是真实的有效汇率、真实的银行信贷和价格。研究结果表明价格粘性。此外，放弃的产出和股票价格指数的波动以及真实的有效汇率是价格控制的权衡。
This article employs VAR to analyze monetary policy transmission mechanisms of in Indonesia Korea Malaysia the Philippines and Thailand (ASIA‑5 after the Asian crisis. In order to resolve the "price puzzle"usually found in prior studies that applied the recursive Choleski decomposition this article proposes to set the identifying restrictions on the coefficient matrix of innovations that are based on the empirical Granger causality and the cointegration relationships among variables in the systems. The results of this empirical study confirmed the superiority over the recursive scheme in terms of less puzzled signs of impulse responses of endogenous variables in the system to the interest rate disturbance. Despite the different economic structures among the ASIA‑5 asset price relatively represents the most sensitive variable to the interest rate shock among all variables in the model; however with a puzzle on its sign of the impulse response function. The second most sensitive variable is output followed respectively by the real effective exchange rate real bank credit and price. The findings indicate price stickiness. Moreover foregone output and fluctuations in stock price indices as well as real effective exchange rates are the tradeoffs for price control.