{"title":"来自海湾合作委员会国家的金融稳定和货币政策反应证据","authors":"Ahmed H. Elsayed, Nader Naifar, S. Nasreen","doi":"10.2139/ssrn.3915669","DOIUrl":null,"url":null,"abstract":"This paper investigates the interaction between monetary policy and financial stability in the Gulf Cooperation Council (hereafter GCC) countries by introducing a new composite financial stability index to monitor the financial vulnerabilities and crisis periods. To this end, the study estimated monetary policy reaction functions for each of the GCC countries (namely, Bahrain, Kuwait, Saudi Arabia, and the United Arab Emirates) using the Nonlinear Autoregressive Distributed Lag Model (NARDL) over the period from 2006-Q4 to 2020-Q2. Empirical findings indicate that monetary authorities' response to the deviation of inflation from their target level, output gap, or exchange rate movement differ in terms of magnitude, sign, and significance across the GCC countries. The results further explain that monetary authorities react significantly to negative or positive shocks in financial stability, but their reaction is different in the short-run or long run. Overall, an augmented Taylor rule including financial stability as an additional monetary policy objective is more appropriate for the GCC countries.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"11","resultStr":"{\"title\":\"Financial Stability and Monetary Policy Reaction Evidence from the GCC Countries\",\"authors\":\"Ahmed H. Elsayed, Nader Naifar, S. Nasreen\",\"doi\":\"10.2139/ssrn.3915669\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates the interaction between monetary policy and financial stability in the Gulf Cooperation Council (hereafter GCC) countries by introducing a new composite financial stability index to monitor the financial vulnerabilities and crisis periods. To this end, the study estimated monetary policy reaction functions for each of the GCC countries (namely, Bahrain, Kuwait, Saudi Arabia, and the United Arab Emirates) using the Nonlinear Autoregressive Distributed Lag Model (NARDL) over the period from 2006-Q4 to 2020-Q2. Empirical findings indicate that monetary authorities' response to the deviation of inflation from their target level, output gap, or exchange rate movement differ in terms of magnitude, sign, and significance across the GCC countries. The results further explain that monetary authorities react significantly to negative or positive shocks in financial stability, but their reaction is different in the short-run or long run. Overall, an augmented Taylor rule including financial stability as an additional monetary policy objective is more appropriate for the GCC countries.\",\"PeriodicalId\":331807,\"journal\":{\"name\":\"Banking & Insurance eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-07-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"11\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Banking & Insurance eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3915669\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Banking & Insurance eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3915669","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Financial Stability and Monetary Policy Reaction Evidence from the GCC Countries
This paper investigates the interaction between monetary policy and financial stability in the Gulf Cooperation Council (hereafter GCC) countries by introducing a new composite financial stability index to monitor the financial vulnerabilities and crisis periods. To this end, the study estimated monetary policy reaction functions for each of the GCC countries (namely, Bahrain, Kuwait, Saudi Arabia, and the United Arab Emirates) using the Nonlinear Autoregressive Distributed Lag Model (NARDL) over the period from 2006-Q4 to 2020-Q2. Empirical findings indicate that monetary authorities' response to the deviation of inflation from their target level, output gap, or exchange rate movement differ in terms of magnitude, sign, and significance across the GCC countries. The results further explain that monetary authorities react significantly to negative or positive shocks in financial stability, but their reaction is different in the short-run or long run. Overall, an augmented Taylor rule including financial stability as an additional monetary policy objective is more appropriate for the GCC countries.