Monetary Policy Rules under the Inflation Targeting Framework in Emerging ASEAN Economies
| Autor: | WANASILP, MESA |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Zdroj: | 埼玉大学大学院人文社会科学研究科博士学位論文 : 論文内容の要旨及び論文審査の結果の要旨. 12:6-8 |
| Popis: | Understanding the performance of a central bank in controlling inflation is crucial for the formulation of monetary policy. There is skepticism and debate regarding the efficacy of monetary policy in achieving stable inflation in developing economies. To provide a more recent performance assessment through a series of studies, this dissertation explores the linkages of emerging ASEAN economies’ monetary policy rules under the inflation targeting (hereafter IT) framework. This dissertation is hereby divided into the following four chapters.Chapter 1 provides the background on monetary policy frameworks in emerging ASEAN economies which are specifically grouped into inflation targeting economies (Indonesia, the Philippines, and Thailand) and non-inflation-targeting economies (Malaysia and Vietnam). This deepens the understanding of each country’s monetary policy objectives and stances and also highlights the similarities and differences between IT adopters and non-IT adopters.Chapter 2 examines the monetary policy rules of five emerging ASEAN economies: Indonesia, the Philippines, and Thailand as the adopters of IT, and Malaysia and Vietnam as non-IT adopters. This study applies a generalized method of moments (hereafter GMM) that provides a consistent and efficient estimator for the policy-rule estimation that contains endogenously determined variables. The major research questions are twofold: whether the monetary policy rules of the IT adopters have fulfilled the Taylor principle, and what has been the difference in monetary policy rules between the IT adopters and the non-IT adopters. The main findings are as follows. Regarding the IT adopters, their monetary policy rules are characterized by inflation-responsive rules fulfilling the Taylor principle. As for the non-IT adopters, while Malaysia solely follows an output-gap responsive rule, Vietnam follows mixed rules with inflation and exchange rate-responsiveness. The policy implications for the IT adopters are that there may be room to make their policy-rate responses more elastic to inflation, and non-IT adopters may feel the need to adopt an explicit IT framework to ensure a robust effect of policy rate on stabilizing inflation.Chapter 3 investigates the relationship between the IT framework and the exchange rate pass-through (hereafter ERPT) to consumer prices in small open ASEAN economies using a two-variable vector autoregressive (hereafter VAR) model with quarterly data covering the whole sample period from the first quarter of 1990 to the first quarter of 2020. The empirical analysis is divided into two sub-periods: pre-IT and post-IT. The results from the impulse response analysis identify the existence of the ERPT during the pre-IT sub-period and the loss of the ERPT during the post-IT sub-period in all sample countries. The study further considers that the loss of the ERPT is also attributable to the inflation-responsive monetary policy rule in Indonesia, the Philippines, and Thailand.Chapter 4 aims to reassess the monetary policy rule under IT in Indonesia, the Philippines, and Thailand, with a focus on its conformity to the Taylor principle, through the New Keynesian dynamic stochastic general equilibrium (hereafter DSGE) model, with Bayesian estimations, and a small open economy version of the model. The main findings are summarized below. First, the GMM estimations identified inflation responsive rules fulfilling the Taylor principle, with a forward-looking manner in Indonesia and Thailand. Second, the Bayesian estimations of the New Keynesian DSGE endorsed the GMM estimation results from Chapter 2, as the former estimations produced outcomes consistent with the latter ones regarding policy rate reactions to inflation, while conforming to the Taylor principle.Based on the empirical findings in Chapters 2-4, the conclusions can be summarized as follows. First, emerging ASEAN economies’ monetary policy rules have been upgraded to the forward-looking rule in most cases, except the Philippines and Malaysia. Second, non-IT economies are encouraged to develop an explicit-IT implementation to achieve a more robust performance. Third, the inflation-responsive rule fulfilling the Taylor principle is emphasized as a contributor to the loss of the ERPT after the adoption of IT in Indonesia, the Philippines, and Thailand. Fourth, the responses to inflation in these emerging ASEAN economies, however, are far weaker than those of advanced economies, implying that there is room to make their reactions more elastic to inflation. Lastly, it is proved that both estimations of partial policy reaction functions and the New Keynesian macroeconomic model with micro-foundations are producing results consistent with the modality of monetary policy rules in emerging ASEAN economies. INTRODUCTION ............................................................................................................ 1CHAPTER 1 EMERGING ASEAN ECONOMIES’ MONETARY POLICY OVERVIEW 31.1 Exchange Rate Regimes .......................................................................................... 31.2 Inflation Targeting Basic Framework ...................................................................... 51.3 Non-Inflation Targeting Frameworks ...................................................................... 6CHAPTER 2 MONETARY POLICY RULES IN EMERGING ASEAN ECONOMIES: ADAPTABILITY OF TAYLOR PRINCIPLE .................................................................. 92.1 Introduction ............................................................................................................. 92.2 Literature Review and Contribution ...................................................................... 102.3 Empirical Analysis ................................................................................................ 122.3.1 Variables and Data ............................................................................................................. 122.3.2 Monetary Policy Reaction Function .................................................................................. 132.3.3 Methodology ...................................................................................................................... 142.4 Estimation Results ................................................................................................. 162.5 Discussion ............................................................................................................. 172.6 Chapter Summary .................................................................................................. 18CHAPTER 3 THE EXCHANGE RATE PASS-THROUGH IN EMERGING ASEAN ECONOMIES UNDER THE INFLATION TARGETING FRAMEWORK ................. 203.1 Introduction ........................................................................................................... 203.2 Literature Review and Contribution ...................................................................... 213.3 Empirical Analysis ................................................................................................ 233.3.1 Key variables and data ....................................................................................................... 233.3.2 Methodology ...................................................................................................................... 243.4 Estimation Results ................................................................................................. 263.5 Chapter Summary .................................................................................................. 28CHAPTER 4 MONETARY POLICY RULE AND THE TAYLOR PRINCIPLE IN EMERGING ASEAN ECONOMIES: DSGE APPROACH .......................................... 304.1 Introduction ........................................................................................................... 304.2 Literature Review and Contribution ...................................................................... 304.3 Empirical Analysis ................................................................................................ 314.4 Estimation Results ................................................................................................. 354.5 Chapter Summary .................................................................................................. 36CONCLUDING REMARKS .......................................................................................... 37REFERENCES ............................................................................................................... 40APPENDICES ................................................................................................................ 64 指導教員 : 田口博之 |
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