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Monetary Policy and the Real Economy: A Structural VAR Approach for Sri Lanka
https://doi.org/10.24545/00001124
https://doi.org/10.24545/00001124f63ae734-06f7-44af-858c-ebc2b7b6a72d
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP13-13.pdf (702.4 kB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2013-07-03 | |||||||
| タイトル | ||||||||
| タイトル | Monetary Policy and the Real Economy: A Structural VAR Approach for Sri Lanka | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Impulse responses | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Monetary Policy | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Small Open Economy | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Structural VAR Models | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | technical report | |||||||
| ID登録 | ||||||||
| ID登録 (DOI) | 10.24545/00001124 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
VINAYAGATHASAN, Thanabalasingam
× VINAYAGATHASAN, Thanabalasingam
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| 著者所属 | ||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||
| 分野 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 経済学 / Economics | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This paper attempts to identify the monetary policy indicator that better explains the Sri Lankan monetary policy transmission mechanism. This study also estimates how shocks stemming from foreign monetary policy and/or oil price affect domestic macroeconomic variables. To that end, we use a seven variable structural VAR model by utilizing monthly time series data from Sri Lanka covering the period from January 1978 to December 2011. Impulse response functions and variance decompositions are used to describe the relationships among variables. Our empirical findings suggest that the interest rate shocks play a significant and better role in explaining the movement of economic variables than monetary aggregate shocks or exchange rate shocks. Second, the targeting of reserve money is a better strategy for the Sri Lankan economy than a focus on narrow or broad money. Third, our findings clearly show that foreign monetary policy shocks and oil price shocks do not seem to affect the domestic economy. Finally, the inclusion of oil price in the SVAR model helped us overcome the puzzles that often appear in the existing literature in monetary economics. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | JEL Classification Codes: C32, E52, E58, F41 | |||||||
| 発行年 | ||||||||
| 値 | 2013-07 | |||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP13-13, 発行日 2013-07-03 |
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| 出版者 | ||||||||
| 出版者 | GRIPS Policy Research Center | |||||||
| 言語 | en | |||||||
| 関連サイト | ||||||||
| 関連タイプ | isIdenticalTo | |||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/13-13.html | |||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/13-13.html | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | AM | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||
