Monetary policy reaction functions of the TICKs : a quantile regression approach
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Date
Authors
Christou, Christina
Naraidoo, Ruthira
Gupta, Rangan
Kim, Won Joong
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
Abstract
This study investigates how Taiwan, India, China, and Korea (TICKs) set interest rates in the context of policy reaction functions using a quantile-based approach. Our results indicate the tendency of a milder response to inflation at low interest rates and greater response at higher quantiles of interest rates, where inflation is presumably higher than desired for China and South Korea. While the response to inflation over the quantiles is significant for India, yet the Taylor principle is less likely to hold. For Taiwan, the results imply that another instrument is employed to deal with its official managed floating currency.
Description
Keywords
Emerging markets, Monetary policy, Quantile regression, Taylor rule, Taiwan, India, China, and Korea (TICKs)
Sustainable Development Goals
Citation
Christina Christou, Ruthira Naraidoo, Rangan Gupta & Won Joong Kim (2018)
Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach, Emerging
Markets Finance and Trade, 54:15, 3552-3565, DOI: 10.1080/1540496X.2017.1422429.