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Unraveling the Monetary Policy Transmission Mechanism in Sri Lanka.

Author: Manuk Ghazanchyan
Publisher: Washington : International Monetary Fund, 2014.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
In this paper we examine the channels through which innovations to policy variables- policy rates or monetary aggregates-affect such macroeconomic variables as output and inflation in Sri Lanka. The effectiveness of monetary policy instruments is judged through the prism of conventional policy channels (money/interest rate, bank lending, exchange rate and asset price channels) in VAR models. The timing and magnitude  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Ghazanchyan, Manuk.
Unraveling the Monetary Policy Transmission Mechanism in Sri Lanka.
Washington : International Monetary Fund, ©2014
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Manuk Ghazanchyan
ISBN: 9781475552287 1475552289
OCLC Number: 897070297
Description: 1 online resource (81 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; Annex; I. Background; II. Literature Review; III. Current Challenges; 1. Sri Lanka: Ratio of Bank Loans to GDP; 2. Sri Lanka: Selected Financial Indicators; 3. Sri Lanka: Banks' Liquid Asset Holdings; 4. Sri Lanka: Selected Financial Indicators; 5. Sri Lanka: Banks' Liabilities; 6. Sri Lanka: Repo and Prime Lending Rates; 7. Sri Lanka: Pass-through from Repo Rate to Money Market Rate; 8. Sri Lanka: Pass-through from Money Market to Prime Lending Rates; 9. Sri Lanka: Pass-through from Repo Rate to Lending-Deposit Spread. 10. Sri Lanka: Pass-through from Money Market Rate to Lending-Deposit Spread1a. Sri Lanka: Correlations Between Changes in Repo Rate and Changes in Money Market and Securities Returns; 1b. Sri Lanka: Correlations Between Changes in Repo Rate and Changes in Money Market and Securities Returns; 2. Sri Lanka: Correlations Between Changes in the Money Market Rates and Changes in the Lending and Deposit Rates; 3. Sri Lanka: Impact of Policy and Money Market Rates on Long-term Domestic Rates. 4. Selected Asian Countries: Correlations Between Changes in the Repo Rate and Changes in Money Market and Securities Returns5. Selected Asian Countries: Correlations Between Changes in the Money Market Rates and Changes in the Lending and Deposit Rates; IV. Data and Methodology; A. Data Inspection Strategy; B. Methodology; V. Baseline VAR and Channels of Monetary Policy Transmission; A. Interest Rate Channel (Money View); 6. Sri Lanka: Baseline Model; B. Bank Lending Channel (Component of the Credit View); 7. Sri Lanka: Credit Channel; 8. Sri Lanka: Credit Channel; C. Exchange Rate Channel. D. Asset Price Channel9. Sri Lanka: Asset Price Channel; VI. More on the Channels of Monetary Policy Transmission; VII. VAR Model-Issue of Excess Liquidity, Output, and Inflation; 10. Sri Lanka: Expanded VAR Model; 11. Sri Lanka: Expanded VAR Model with 12-Month Treasury Bill Rate; VIII. Conclusions; I. Data Generation Process and Unit Root Test Results; II. Comparison with Previous Work; References; Footnotes.
Series Title: IMF Working Papers.

Abstract:

In this paper we examine the channels through which innovations to policy variables- policy rates or monetary aggregates-affect such macroeconomic variables as output and inflation in Sri Lanka. The effectiveness of monetary policy instruments is judged through the prism of conventional policy channels (money/interest rate, bank lending, exchange rate and asset price channels) in VAR models. The timing and magnitude of these effects are assessed using impulse response functions, and through the pass-through coefficients from policy to money market and lending rates. Our results show that (i) t.

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