Channels of Monetary Transmission in the CIS: a Review 1

Emin Huseynov, Rustam Jamilov
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引用次数: 7

Abstract

Twenty years have passed since the breakdown of the Soviet Union, and it is time to draw a concluding line for monetary policy efficiency in the Commonwealth of Independent States (CIS). We propose a comprehensive treatment of the subject for nine members of the CIS for the period of 2000-2009. Four transmission channels are investigated: interest rate channel, exchange rate channel, bank lending channel, and monetary channel. First, we design a Vector Auto Regression framework for each CIS member-state and investigate the short-run dynamics of the impact of each of the four transmission channels on domestic output and inflation. Second, we construct Auto Regressive Distributed Lag Models (ARDL) in order to study the country-wise efficiency of transmission channels in the long run. Finally, we employ a panel data fixed effects method to show how the CIS behaves as a region. Our short-run individual country analysis yields highly heterogeneous results. In the long run, however, it’s apparent that broad monetary base (M2) is the most influential determinant of aggregate output. Inflation is affected the most by the refinancing rate and the flow of remittances. For both output and inflation, exchange rate plays a role of a supporting channel.
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独联体货币传导渠道研究综述
自苏联解体以来已经过去了20年,现在是时候为独联体(CIS)的货币政策效率画一条总线了。我们建议对独联体9个成员国2000-2009年期间的这一问题进行综合处理。研究了四种传导渠道:利率渠道、汇率渠道、银行贷款渠道和货币渠道。首先,我们为每个独联体成员国设计了一个向量自回归框架,并研究了四种传导渠道中每一种对国内产出和通货膨胀影响的短期动态。其次,我们构建了自动回归分布滞后模型(ARDL),以研究国家范围内传输信道的长期效率。最后,我们采用面板数据固定效果方法来显示CIS作为一个区域的行为。我们对个别国家的短期分析得出了高度异质的结果。然而,从长期来看,广义货币基础(M2)显然是总产出最具影响力的决定因素。通货膨胀受再融资利率和汇款流量的影响最大。无论是对产出还是对通胀,汇率都起着支撑通道的作用。
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来源期刊
Nigerian Journal of Economic and Social Studies
Nigerian Journal of Economic and Social Studies Social Sciences-Social Sciences (miscellaneous)
CiteScore
0.50
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