Dynamic relations of the inertia of monetary policy: application to the Brazilian case by a Kalman approach

Silva, Manuel Joaquim Da Natividade; Brasil, Gutemberg Hespanha; Moreira, Ricardo Ramalhete

doi:10.1504/ijmef.2016.074577

Cited by 3 publications

(1 citation statement)

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“…Their evidence also showed that Brazilian monetary policy was efficient and transparent. Silva, Brasil and Moreira (2016) found that Brazil's monetary policy inertia was followed by positive output gaps that caused inflation to spurt in the period 2005-2013. Their results suggested that monetary policy gradualism had to be better calibrated with its inflationtargeting approach.…”

Section: Literature Reviewmentioning

confidence: 99%

Monetary Policy Transmission during Multiple Indicator Regime: A Case of India

Sethi¹,

Baby²,

Dar³

2019

JAFEB

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The effectiveness of monetary policy critically depends upon how well the transmission mechanism functions, so that the desired impact on output and inflation is achieved. The purpose of this paper is to study the transmission mechanism of monetary policy by analyzing the impact on inflation and output during multiple indicator regime (1998-99 to 2014) in an emerging economy-India. The Inflation Targeting Regime is also briefly outlined alongwith the impact on output and inflation. Using quarterly data for the period 1997 to 2017, the paper uses weighted average call money market rate as a proxy for the policy rate and evaluates the strength of the interest rate channel. We use a conventional Structural vector auto regression (SVAR) methodology to evaluate the efficacy and show the impluse response functions. Our results find that changes in the policy rate impact output growth steeply with a lag of about two quarters and the impact on inflation is maximized after three quarters. The study concludes that the monetary policy in India has a significant impact on output and inflation in the short-to-medium-run. After the policy shock, the fall in the output growth rate is of greater magnitude than the fall in inflation.

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Section: Literature Reviewmentioning

confidence: 99%