The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables
DC Field | Value | Language |
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dc.contributor.author | Kim, Minjung | - |
dc.contributor.author | Sohn, Wook | - |
dc.contributor.author | Sung, Byeong Mook | - |
dc.date.available | 2020-02-11T06:53:01Z | - |
dc.date.created | 2020-02-11 | - |
dc.date.issued | 2018-07 | - |
dc.identifier.issn | 1226-508X | - |
dc.identifier.uri | https://archives.kdischool.ac.kr/handle/11125/34092 | - |
dc.identifier.uri | 10.1080/1226508X.2018.1455525 | - |
dc.description.abstract | This 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 volatility 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. The panel VAR represents interest rate channel is a more important than exchange rate and stock price channel. | - |
dc.language | English | - |
dc.publisher | 동서문제연구원 | - |
dc.title | The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables | - |
dc.type | Article | - |
dc.identifier.bibliographicCitation | Global Economic Review, vol. 47, no. 3, pp. 311-336 | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000452090200004 | - |
dc.citation.endPage | 336 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 311 | - |
dc.citation.title | Global Economic Review | - |
dc.citation.volume | 47 | - |
dc.contributor.affiliatedAuthor | Sohn, Wook | - |
dc.identifier.doi | 10.1080/1226508X.2018.1455525 | - |
dc.identifier.scopusid | 2-s2.0-85044469153 | - |
dc.subject.keywordAuthor | Monetary Policy | - |
dc.subject.keywordAuthor | Benchmark Interest Rate | - |
dc.subject.keywordAuthor | Financial Market Variables | - |
dc.subject.keywordAuthor | Transmission Mechanism | - |
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