The central banks' ability to control variability of money market interest rates: The case of inflation targeting countries

Bruna Karel; Quang Van Tran

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The central banks' ability to control variability of money market interest rates: The case of inflation targeting countries

机译：中央银行控制货币市场利率变异性的能力：通货膨胀目标国家的情况

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It is well known that variability of money market interest rates is time variant. Further, the ability to control money market interest rates by central bank is also important for effectiveness of inflation targeting. As a contribution to understanding the transmission between main monetary policy rate and money market interest rates an innovative formal framework of money market interest rate variability reflecting variety of macroeconomic shocks was developed. Subsequently, a middle size macro-financial model with exogenous variables is estimated by the Bayesian method with sign restriction to identify main sources of macroeconomic shocks. Parameters of this model are estimated from a dataset of six countries with long-lasting history of inflation targeting. Using the estimation results, three measures of ability to control of money market interest rates are derived and they are used to compare time and country specific conditions of the effects of main policy rate on money market interest rates. We consider these measures as an important contribution for evaluating suitability of VAR models as well as the one for measuring the ability of central bank to control money market rates. Our findings are interesting and the novel approach is applicable to solve similar problem. (C) 2020 Elsevier B.V. All rights reserved.

机译：众所周知，货币市场利率的可变性是时代变体。此外，控制央行控制货币市场利率的能力对于通胀靶向的有效性也很重要。作为理解主要货币政策率和货币市场利率之间传播的贡献，制定了反映各种宏观经济冲击的货币市场利率变异的创新正式框架。随后，贝叶斯方法估算了具有外源性变量的中尺寸宏观金融模型，具有符号限制，以确定宏观经济冲击的主要来源。本型号的参数估计来自六个国家的数据集，持久的通货膨胀历史历史。利用估计结果，推动了三种控制货币市场利率的能力措施，他们用于比较主要政策率对货币市场利率影响的时间和国家特定条件。我们认为这些措施是评估VAR模型的适用性的重要贡献，以及用于测量央行控制货币市场率的能力的贡献。我们的研究结果很有趣，新的方法适用于解决类似的问题。（c）2020 Elsevier B.v.保留所有权利。

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来源
《Journal of Economic Behavior & Organization》 |2020年第8期|384-402|共19页
作者
Bruna Karel; Quang Van Tran;
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作者单位

Univ Econ Prague W Churchilla Sq 4 Prague 3 Czech Republic;

Univ Econ Prague W Churchilla Sq 4 Prague 3 Czech Republic;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Interest rates; Money market; Inflation targeting; Monetary policy; Bayesian VAR model;

机译：利率;金钱市场;通货膨胀瞄准;货币政策;贝叶斯var模型;

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1. The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound? [J] . OLIVIER COIBION, YURIY GORODNICHENKO, JOHANNES WIELAND The Review of Economic Studies . 2012,第4a281期

机译：新凯恩斯主义模型中的最佳通货膨胀率：中央银行是否应根据零下限提高通货膨胀目标？
2. Explaining central bank trust in an inflation-targeting country: the case of the Reserve Bank of New Zealand [J] . Bernd Hayo, Florian Neumeier Oxford Economic Papers . 2021,第1期

机译：解释中央银行在通货膨胀目标国家的信任：新西兰储备银行的案件
3. Central banks' inflation targeting and real exchange rates: Cointegration with structural breaks [J] . Bekareva Svetlana, Meltenisova Ekaterina, Kravchenko Nataliya Model assisted statistics and applications . 2019,第1期

机译：中央银行的通胀目标和实际汇率：结构性断裂的协整
4. Interest rate shocks, Central Bank's Credibility and Inflation Targeting Regime: simulations in a Dynamic Stochastic General Equilibrium Model [C] . Ricardo Ramalhete Moreira International Conference on Applied Economics . 2012

机译：利率冲击，中央银行的可信度和通胀目标制度：动态随机均衡模型中的模拟
5. The Impact of Central Bank Interventions in the Spot Market on Foreign Exchange Rates in Emerging Countries. [D] . Haikal, Bassem. 2017

机译：中央银行对现货市场的干预对新兴国家汇率的影响。
6. Inflation targeting or exchange rate targeting: Which framework supports the goal of price stability in emerging market economies? [O] . Nora Abu Asab, Juan Carlos Cuestas, Alberto Montagnoli 2012

机译：以通胀为目标或以汇率为目标：哪个框架支持新兴市场经济体的价格稳定目标？
7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

The central banks' ability to control variability of money market interest rates: The case of inflation targeting countries

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