The transmission of monetary policy in emerging economies during tranquil and turbulent periods

We construct a theory-based interest rate channel of monetary policy transmission within an SVAR-X model for BRICS. We find a shift in the transmission of monetary policy between the tranquil and turbulent periods for BRICS particularly in Brazil, Russia and China. Thus, the transmission of monetary...

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Bibliographic Details
Published in:Finance research letters 2020-07, Vol.35, p.101295, Article 101295
Main Authors: Yakubu, Jibrin, Salisu, Afees A., Musa, Abdullahi, Omosola, Adebola, Belonwu, Maximillian, Isah, Kazeem
Format: Article
Language:English
Subjects:
BRICS
Impulse responses
Monetary policy transmission
SVARX
Taylor rule
Variance decompositions
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Summary:We construct a theory-based interest rate channel of monetary policy transmission within an SVAR-X model for BRICS. We find a shift in the transmission of monetary policy between the tranquil and turbulent periods for BRICS particularly in Brazil, Russia and China. Thus, the transmission of monetary policy in this region can be considered episodic. We also establish the need to account for seasonal effects in the SVAR model for improved model performance.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2019.09.010