UID:
almafu_9960178097702883
Umfang:
1 online resource (40 p.)
ISBN:
9781484307502
,
148430750X
,
9781475548273
,
1475548273
Serie:
IMF Working Papers
Inhalt:
This paper studies the heterogeneous response across countries of local currency interest rates to foreign and domestic factors, thus contributing to the discussion on the policy trilemma in international economics. On average, floaters appear to be less affected by the U.S. in the short run (up to about one year). However, there is large cross-country heterogeneity in the response: floaters that care less about domestic objectives, exhibit stronger fear of floating, or show higher co-cyclicality with the U.S., respond more to foreign rates. This suggests that floating does not necessarily imply a lack of response of local policy rates to foreign ones, but seems to allow independence when needed. Moreover, the effect of foreign rates on the short end of the local interest rate curve seems to operate mainly via the foreign influence on local policy rates, thus suggesting that central banks may be themselves the source of conduit of the “global credit cycle” discussed by Rey (2014). At the same time, most countries face the equivalent of a “Greenspan conundrum” as their long term rates are mainly influenced by foreign factors.
Anmerkung:
Description based upon print version of record.
,
Cover; Contents; Abstract; I. INTRODUCTION; II. DATA; III. METHODOLOGY; IV. RESULTS; A. Creating a short term (ST) Baseline: USM and USYC Models; B. The Trilemma; C. Why Not All Floaters Appear Independent?; D. Do Foreign Rates Generate the Equivalent of a Greenspan Conundrum for Central Bankers?; V. ROBUSTNESS CHECKS; A. Do Global Factors and Exchange Rate Alter The Picture?; B. Baseline versus Error-Correction Model (ECM); C. Adding Output Gap; D. Structural Change During the Recent Global Crisis; VI. CONCLUSIONS; Tables; 1. Baseline Panel (ST)
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2. Why Floaters Have Different Pass-through (Floaters only, ST)Figures; 1. Relevance of Foreign Variables (ST); 2. Effect Across the Curve (ST); 3. Floating/Capital Controls Buy Short-Term Independence; 4. USM Panel Mean-Group Estimates and Confidence Interval (ST); 5. Following U.S. vs. Controlling Inflation (Floaters only, ST); 6. Interest Rate vs. Reserve Intervention (Floaters only, ST); 7. Do Floaters Need Different MP? (ST); 8. Effect Across the Curve with Local Policy Rate (ST); 9. Robustness-Baseline vs. Error-Correction (ST); 10. Robustness-Output Gap (ST)
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11. Robustness-Pre-2009 vs. Full Sample (ST)Appendix; Additional Material; Appendix Tables; 1. ER Regime/K Control Development; 2. Model Fit for Brazil-Baseline (LT); 3. Model Fit for Mexico-Baseline (LT); 4. Floating Allow More Reaction to Domestic Inflation (ST); 5. Country-Specific Response to U.S. over Different Horizon; 6. ST vs. LT Responses to U.S. Rate; 7. Greenspan Conundrum for EM (LT & ST); 8. Effect Across the Curve (ST, Global Factors & NEER); 9. Response to U.S. Rate vs. ER Regime/K Control; References
Weitere Ausg.:
ISBN 9781475522921
Weitere Ausg.:
ISBN 1475522924
Sprache:
Englisch
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