The transmission of monetary policy in emerging economies during tranquil and turbulent periods
Afees Salisu (),
Maximillian Belonwu and
Finance Research Letters, 2020, vol. 35, issue C
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.
Keywords: Monetary policy transmission; BRICS; SVARX; Taylor rule; Impulse responses; Variance decompositions (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319307147
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