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- W270277064 abstract "This article employs VAR to analyze monetary policy transmission mechanisms of in Indonesia Korea Malaysia the Philippines and Thailand (ASIA‑5 after the Asian crisis. In order to resolve the puzzleusually found in prior studies that applied the recursive Choleski decomposition this article proposes to set the identifying restrictions on the coefficient matrix of innovations that are based on the empirical Granger causality and the cointegration relationships among variables in the systems. The results of this empirical study confirmed the superiority over the recursive scheme in terms of less puzzled signs of impulse responses of endogenous variables in the system to the interest rate disturbance. Despite the different economic structures among the ASIA‑5 asset price relatively represents the most sensitive variable to the interest rate shock among all variables in the model; however with a puzzle on its sign of the impulse response function. The second most sensitive variable is output followed respectively by the real effective exchange rate real bank credit and price. The findings indicate price stickiness. Moreover foregone output and fluctuations in stock price indices as well as real effective exchange rates are the tradeoffs for price control." @default.
- W270277064 created "2016-06-24" @default.
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- W270277064 date "2004-02-01" @default.
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- W270277064 title "VAR Analysis of Monetary Policy Transmission Mechanisms: Empirical Study on Five Asian Countries after the Asian Crisis" @default.
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- W270277064 doi "https://doi.org/10.18999/forids.25.39" @default.
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