Monetary Policy Independence and Bond Yield in Developing Countries

• 발행기관: 한국유통과학회
• 저자명: Cep Jandi ANWAR Indra SUHENDRA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.11, 23~31쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.11.30

영문 초록

This paper investigates the impact of monetary policy independence shock on bond yield by allowing for heterogeneous coefficients in the model based on panel data for 19 developing countries using quarterly data from 1991 to 2016. First, we estimate the model using conventional panel VAR estimation with the assumption of homogeneous coefficients across countries. Second, by performing Chow and Roy-Zellner tests to check the homogeneity assumption, we find that the assumption does not hold in the model. Third, we apply a meangroup estimation for panel VAR as a solution for heterogeneity panel model. The results reveal that central bank independence is effective in reducing bond yield with the maximum at period 6 after the shock. Shock one standard deviation bond yield has a negative effect on consumption and investment. We determine that central bank independence has a contradictory effect on real activity; a negative effect on consumption but a positive influence on investment for the first two years after the shock. Additionally, we split our sample into three groups to make the subgroups pool. Our empirical result shows that monetary policy independence shock reduces bond yield. Meanwhile, the response of economic activity to bond yield varies for all three groups.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Empirical Results

5. Conclusion

References

키워드

CBI Bond Yield Panel VAR Poolability Test Mean Group Estimation