新興市場中的貨幣政策傳導：傳統的擔憂新穎的證據.pdf

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1、Monetary Policy Transmission in Emerging Markets:Proverbial Concerns,Novel EvidenceAriadne Checo,Francesco Grigoli,and Damiano SandriIMF Annual Research Conference November 15th2024The views expressed are those of the authors and not necessarily the views of the BIS or the IMF.2Research questionHow

2、much traction does monetary policy(MP)have in emerging market economies(EMEs)?Context Major progress in the assessment of MP transmission in advanced economies(AEs)Evidence about transmission in EMEs is much more limitedFocusing on EMEs is especially important given proverbial concerns about MP tran

3、smission Limited financial market development Currency mismatches Limited institutional credibility 3EMEs sensitivity to global financial conditionsThe literature on the global financial cycle casts further doubts on MP traction in EMEs EMEs are highly sensitive to US monetary policy,even under flex

4、 exchange rates (Rey,2015;Dedola et al 2017;Iacoviello and Navarro,2019;Kalemli-zcan,2019;Miranda-Agrippino and Rey,2020)EME bond yields rise after a US MP tightening despite EMEs tend to loosen MP (De Leo,Gopinath and Kalemli-zcan,2022;Degasperi,Hong and Ricco,2020)Does this imply impaired transmis

5、sion?Not necessarily4Global spillovers do not necessarily imply impaired MP transmission in EMEsUS MP tightening may destabilize EMEs Traditional view:EME exchange rate depreciations should boost external demand(Mundell,1963;Fleming,1962;Obstfeld and Rogoff,1995)Yet,effects could be muted under doll

6、ar pricing (Gopinath,Boz,Casas,Dez,Gourinchas and Plagborg-Mller,2020)and even turn contractionary under FX mismatches and shallow financial markets(Aghion,Bacchetta,and Banerjee,2001;Cavallino and Sandri,2023)But MP easing in EMEs may still retain expansionary effects through domestic demand(Gourin

7、chas,2017)Need for direct evidence about MP transmission in EMEs5MP identification and our contributionEvidence about MP transmission in EMEs is limited because of identification challenges Narrative approach la Romer and Romer(1994)is impractical HFI la Kuttner(2001)and Cochrane and Piazzesi(2002)i

8、s impaired by limited liquidityTo overcome these challenges,we construct new monetary policy shocks for 18 EMEs using analysts forecasts of policy rate decisions collected by BloombergAnalysts can update forecasts up to the time of the policy meetingUsing these shocks,we study MP transmission to:Fin

9、ancial marketsMacroeconomic conditionsIndividual firms6Literature on MP transmission in AEs and EMEsWe build on a large literature using HFI in AEs to study transmission to Financial markets(Kuttner,2001;Cochrane and Piazzesi,2002;Bernanke and Kuttner,2005;Gurkaynak,Sack,and Swanson,2005;Hanson and

10、Stein,2015;Gilchrist,Lopez-Salido,and Zakrajsek,2015;Nakamura and Steinsson,2018;Andrade and Ferroni,2021;Swanson,2021)Macroeconomic conditions(Gertler and Karadi,2015;Jarocinski and Karadi,2020;Bauer and Swanson,2023)Firm-level data(Ottonello and Winberry,2020;Jeenas,2019;Cloyne et al.,2023;Caglio,

11、Darst,and Kalemli-Ozcan,2021)Recent studies on MP in EMEsTaylor-rule residuals(Brandao-Marques et al.,2021;Deb et al.,2023)Bloomberg forecasts in Chile(Aruoba,Fernndez,Guzmn,Pastn,and Saffie,2021)7Outline1.Monetary policy shocks in EMEs2.Monetary policy transmission to financial markets3.Monetary po

12、licy transmission to macroeconomic conditions4.Monetary policy transmission across firms1.Monetary policy shocks in EMEs89Analysts forecasts of policy rate decisions58,321 policy rate forecasts for 2,522 MP meetings across 18 EMEs between 1999 and 2022Critical for identification,analysts can update

13、forecasts up to the MP meetingIndeed,forecasts errors do NOT decline as the meeting approaches10Monetary policy surprisesFor each MP meeting,we construct a MP surprise equal to the average forecast errorForecast-based MP surprises are tightly correlated with market-based surprises in the US(Nakamura

14、 and Steinsson,2018)11Monetary policy shocksFollowing Bauer and Swanson(2023),we orthogonalize the MP surprises using the latest financial and economic data prior to the meetingWe orthogonalize the MP surprises with respect toPrices:inflation,expected inflation,commodity inflation,wage growthReal va

15、riables:IP,expected IP,unemployment rateFinancial variables:NEER,expected NEER,stock pricesWe detect modest predictability,average R2is 0.08Analysts tend to under-estimate MP countercyclicalityWe refer to the orthogonalized MP surprises as MP shocks2.Monetary policy transmission to financial markets

16、1213Event-study approach to examine MP transmission to financial marketsHow do EMEs MP shocks transmit to financial markets?We address this question using an event-study approach(Cook and Hahn,1989;Kuttner,2001)?,?,?=?+?,?+?,?where:?,?financial variable for country at the market-closing value on day

17、?,?monetary policy shock(orthogonalized Bloomberg forecast errors)0daily horizon14Strong transmission to bond yields EME MP has strong effects on local-currency government bond yields Full pass-through of MP shocks to 1 year bond yields MP shocks also influence longer maturities but more modestlyNot

18、es:the horizontal axis denotes the days since a contractionary one-percentage-point MP shock.A.1-year government bond yield B.2-year government bond yield C.5-year government bond yield%1.20.80.40.00.43024181261.20.80.40.00.430241812061.20.80.40.00.430241812615Strong transmission to bond yields but

19、limited effects on risk-sensitive assetsEME MP has very modest effects on risk-sensitive assets MP tightening appreciates the exchange rate and reduces stock prices But the effects are very short-lived Notes:the horizontal axis denotes the days since a contractionary one-percentage-point MP shock.A.

20、Exchange rate B.Stock prices C.EMBI spread%2101233024181262101233024181260.40.20.00.20.40.63024181263.Monetary policy transmission to macroeconomic conditions1617Local projections to examine MP transmission to macro variablesHow do EMEs MP shocks transmit to macroeconomic conditions?We address this

21、question using local projections la Jord(2005)on monthly data?,?,?=?+?,?+?()?,?+?()?,?+?+?,?where:?,?vector of monthly macroeconomic variables?()matrix polynomial,allowing for 12 lags?,?vector of pandemic controls(cases,lockdowns,economic support)?time fixed effects to control for global shocks18MP

22、tightening is contractionary MP tightening reduces economic activity Industrial production declines and unemployment increases Quantitative effects in line with US based evidence(Bauer and Swanson,2023)Notes:the horizontal axis denotes the months since a contractionary one-percentage-point MP shock.

23、A.1-year government bond yield B.Industrial production C.Unemployment%1.60.80.00.81.62.436302418126420246363024181260.90.60.30.00.30.63630241812619MP tightening is contractionary and disinflationaryMP tightening curbs inflation Producer prices decline after a 6 month lag.Consumer prices decline afte

24、r a longer lag The CPI decline is close to upper bound estimates for the US(Bauer and Swanson,2023)Notes:the horizontal axis denotes the months since a contractionary one-percentage-point MP shock.A.PPI B.Core and headline inflation%024681036302418126024681036302418126HeadlineCore4.Monetary policy t

25、ransmission across firms2021Heterogenous transmission across firmsIn AEs,MP affects firms differently depending on financial conditions (Ottonello and Winberry,2020;Caglio,Darst and Kalemli-zcan,2021;Cloyne,Ferreira,Froemel,Surico,2023)Does MP also have heterogeneous effects across firms in EMEs?,?,

26、?=?+?+?,?+?+?()?,?+?()?,?+?,?+?,?where:?,?fixed capital for firm?firm-level financial indicator(leverage,liquidity,dividend payments)?,?macro controls(yields,IP,CPI,PPI,exchange rate plus pandemic variables)?,?sector-time fixed effects22MP impact on firm-level fixed capitalMP tightening has stronger

27、 effects on financially weak firms Investment contracts more for firms with high leverage and that do not pay dividendsNotes:the horizontal axis denotes the quarters since a contractionary one-percentage-point MP shock.A.By leverage B.By liquidity C.By dividends%404812162012963LowHigh404812162012963

28、 HighLow404812162012963PayingNot paying23Key takeawaysNew MP shocks for EMEs based on analysts forecasts of policy rate decisions Analysts can incorporate information up to the MP meeting Analysts tend to underestimate MP countercyclicalityEME MP exerts considerable influence on domestic government

29、bond yields Although more limited effects on risky asset classes as well as on macroeconomic conditions MP tightening is contractionary and disinflationary Stronger effects on financially constrained firms24Policy considerationsEvidence about EME MP traction:underscores improvements in MP frameworks

30、 encourages EME central banks to confidently pursue price stability mandatesResults do not detract from evidence of EMEs vulnerability to global financial shocks but underscore this does not imply loss of MP transmissionCaveat:analysis documents effective MP transmission on average Transmission impairments may still emerge,especially at times of financial/fiscal distress Sound fiscal frameworks and macroprudential regulation remain key to support effective MP transmissionThank you25