Monetary policy reaction functions of the TICKs : a quantile regression approach

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Authors

Christou, Christina
Naraidoo, Ruthira
Gupta, Rangan
Kim, Won Joong

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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.

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Keywords

Emerging markets, Monetary policy, Quantile regression, Taylor rule, Taiwan, India, China, and Korea (TICKs)

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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.