Evaluating the Role of the Exchange Rate in Monetary Policy Reaction Function of Advanced and Emerging Market Economies

IF 1.7 Q3 BUSINESS, FINANCE

Journal of Central Banking Theory and Practice Pub Date : 2022-04-30 DOI:10.2478/jcbtp-2022-0014

N. Fabris, M. Lazić

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引用次数: 5

Abstract

Abstract The subject of this paper is the evaluation of monetary policy reaction function on panel data of 37 world economies, both advanced and emerging markets, during the period of 1995Q1 – 2018Q3. The paper aims to evaluate the role and importance of the exchange rate in monetary policy reaction function depending on the level of economic development. For this purpose, a relevant set of unbalanced panel data was formed with a balanced relationship between developed and emerging market economies. The methodology of empirical research is based on the econometric assessment of monetary policy reaction function within which the central bank adjusts its key policy rate to the dynamics of inflation, output gap and fluctuations of the real effective exchange rate. The research results confirm the hypothesis that the exchange rate represents a statistically significant variable only in the monetary policy reaction function of emerging market economies. In contrast, adequate specification of developed economies’ monetary policy rule includes only standard macroeconomic fundamentals – inflation and output gap.

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汇率在发达和新兴市场经济体货币政策反应函数中的作用评价

摘要本文的主题是对1995年第一季度至2018年第三季度37个世界经济体（包括发达市场和新兴市场）面板数据的货币政策反应函数的评估。本文旨在评估汇率在取决于经济发展水平的货币政策反应函数中的作用和重要性。为此，发达市场经济体和新兴市场经济体之间的平衡关系形成了一组相关的不平衡面板数据。实证研究方法基于对货币政策反应函数的计量评估，在该函数中，央行根据通货膨胀、产出缺口和实际有效汇率波动的动态调整其关键政策利率。研究结果证实了一个假设，即汇率仅在新兴市场经济体的货币政策反应函数中代表一个具有统计学意义的变量。相反，发达经济体货币政策规则的充分规范只包括标准的宏观经济基本面——通货膨胀和产出缺口。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Central Banking Theory and Practice BUSINESS, FINANCE-

CiteScore

2.80

自引率

57.10%

发文量

审稿时长

7 weeks

期刊介绍： Journal of Central Banking Theory and Practice is a scientific journal dedicated to publishing quality papers and disseminating original, relevant and applicable economic research. Scientific and professional papers that are published in the Journal of Central Banking Theory and Practice cover theoretical and practical aspects of central banking, monetary policy, including the supervision issues, as well as banking and management in central banks. The purpose of the journal is to educate the general public about the key issues that the central bankers globally face, as well as about contemporary research and achievements in the field of central banking theory and practice.