Contents

The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables

Sohn, Wook / Byeongmook Sung(Author)

DC Field Value Language
dc.contributor.authorSohn, Wook-
dc.contributor.authorByeongmook Sung-
dc.date.available2019-01-29T01:47:52Z-
dc.date.issued2013-12-
dc.identifier.urihttps://archives.kdischool.ac.kr/handle/11125/30885-
dc.description.abstractThis study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank’s interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatilities of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates.-
dc.description.tableOfContentsPreface Summary CHAPTER 1 Introduction CHAPTER 2 Pattern of Central Bank Rate Changes CHAPTER 3 Central Banks’ Interest Rates and Financial Market Variables CHAPTER 4 Association of the Pattern of a Central Bank’s Rate Changes and Its Contribution to Forecast Error Variance of Financial Market Variables CHAPTER 5 Association of the Pattern of a Central Bank’s Rate Changes and the Movement of the Financial Market Variables CHAPTER 6 Conclusion References-
dc.format.extent33-
dc.languageENG-
dc.publisherKorea Development Institute-
dc.relation.isPartOfSeriesKDI Policy Study 2013-01-
dc.titleThe Effects of Central Banks’ Rate Change Patterns on Financial Market Variables-
dc.typeBook-
dc.contributor.affiliatedAuthorSohn, Wook-
dc.identifier.urlhttp://kdi.re.kr/research/subjects_view.jsp?pub_no=13403-
dc.type.docType저서-
Files in This Item:
    There are no files associated with this item.

Click the button and follow the links to connect to the full text. (KDI CL members only)

qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

상단으로 이동