Macroeconomic Effects of Monetary Policy Shocks
Autor: | C. D. Tilakaratne, Kishan Abeygunawardana, Chandranath Amarasekara |
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Rok vydání: | 2017 |
Předmět: |
Macroeconomics
media_common.quotation_subject 05 social sciences Monetary policy Monetary economics Interest rate Vector autoregression Credit channel Open market operation 0502 economics and business Economics 050207 economics Sri lanka General Economics Econometrics and Finance 050205 econometrics media_common |
Zdroj: | South Asia Economic Journal. 18:21-38 |
ISSN: | 0973-077X 1391-5614 |
Popis: | This study examines the impact of monetary policy shocks on output, prices and interest rates in Sri Lanka during the period 2003–2012. It finds a strong transmission of policy rate shocks onto the money market rates and the government securities market yields. However, banking sector interest rates exhibit a smaller and slower impact compared to money and government securities market rates. The study also finds a weak policy interest rate transmission onto the real sector and prices. The direction of relationships between variables and policy shocks is in conformity with the existing theoretical and empirical priors. The existence of a large informal economy, volatile excess market liquidity, shallowness of financial markets, relatively less flexible interest rates on deposit and loan products, and fiscal accommodation by monetary policy at times are identified as reasons for weak transmission. |
Databáze: | OpenAIRE |
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