Monetary Policy Rule and Its Performance : Case of Mongolia

• Material Type: 博士論文
• Title: Monetary Policy Rule and Its Performance : Case of Mongolia
• Author/Editor: Erdenechuluun, Khishigjargal
• Author Heading: Erdenechuluun, Khishigjargal
• Publication Date: 2019
• Publication Date (W3CDTF): 2019
• Periodical title: 博士論文（埼玉大学大学院人文社会科学研究科（博士後期課程））
• Degree grantor/type: 埼玉大学
• Date Granted: 2019-03-20
• Date Granted (W3CDTF): 2019-03-20
• Dissertation Number: 甲第14号
• Degree Type: 博士(経済学)
• Conferring No. (Dissertation): 甲第14号
• Text Language Code: eng
• Target Audience: 一般
• Note (General): type:text; This dissertation aimed to examine the monetary policy rule and its macro-economic performance in Mongolia. The Part I investigated the history of the Mongolian monetary policy in relation with its macroeconomic conditions during 1990-2016. The Part II focused on empirical studies of monetary policy rule and its transmission mechanism under the inflation targeting framework since its adoption in 2007. The Part I mainly illustrated how the Mongolian monetary policy has struggled high and volatile inflation. The monetary policy framework has made the following major progresses to cope with inflation. As the initial step in the early 1990s, the Bank of Mongolia (BOM) was assigned to implement a monetary policy in accordance with the transformation from a centrally planned economy to a market-based economy. The BOM had adopted a monetary aggregate targeting as an instrument to manage inflation in this initial stage. As the next progress, the BOM has adopted a inflation targeting instead of a monetary aggregate targeting, and at the same time has set a policy rate as an operating target since 2007. The inflation targeting has been further graded up by applying a forward-looking framework since 2011, and the BOM also has improved its operation by establishing an interest rate corridor since 2013. While the framework has shown the progresses above, however, the Mongolian monetary policy management has faced difficulties by internal and external factors: the monetary policy has often been confronting with expansionary fiscal policy in managing inflation, and also been disturbed by exchange rate fluctuation and massive flows of foreign capital. The history of Mongolian monetary policy, in this sense, contained not only a positive side of the progresses in its framework but also a negative side of policy dilemma with internal and external factors. The Part II evaluated empirically the Mongolian monetary policy under inflation targeting framework since 2007 from the perspectives of monetary policy rule and its transmission mechanism. The first empirical analysis employed the policy reaction function to see if the inflation targeting has been linked with a monetary policy rule emphasizing on inflation stabilization. The study contributed to the literature by examining the linkage between Mongolian monetary policy rule and inflation targeting directly and thoroughly for the first time, and also by taking into account a recent progress in the inflation targeting framework toward forward-looking mode since 2011. The main findings through the estimation outcomes of policy reaction functions were summarized as follows: First, the Mongolian current monetary policy rule under inflation targeting is characterized as inflation-responsive rule with forward-looking manner (one quarter ahead). It might reflect the progress in inflation targeting framework toward forward-looking mode by adopting the Forecasting and Policy Analysis System since 2011. Second, the inflation-responsiveness is, however, not powerful enough to stabilize inflation in the sense that the real policy rate tends to be still pro-cyclical to inflation pressure. Third, the Mongolian monetary policy rule is also responsive to exchange rate movement, due to the “fear of floating”. The policy reaction to exchange rate is typically represented by the fact that the BOM has still kept its policy rate at higher than ten percent even under the inflation rate below the targeted rate after 2015 to prevent currency value from falling. The “fear of floating” might weaken the policy reaction to inflation and output gap. The strategic policy implication to enhance monetary autonomy in the Mongolian monetary policy would be the serious necessities to have more foreign reserves to cope with foreign capital mobility and to diversify manufacturing industries to acquire a resilience against currency depreciation in the long run. The second empirical analysis examined the monetary policy transmission mechanism under the inflation targeting in Mongolia by applying structure vector-autoregressive model. Under the inflation targeting framework, the BOM has introduced the policy rate since July 2007, and has established the interest rate corridor since February 2013, for the purpose of improving the interest rate channel of the transmission mechanism. The study then contributed to the literature by assessing whether the interest rate corridor has really improved the policy rate transmission effects by comparing the effects between the pre-corridor and the post-corridor period. The main findings of this study were summarized as follows: First, there is a clear contrast in the responses of the lending rate and inflation rate to the policy rate shock between the pre-corridor period and the post-corridor one: in the post-corridor period the effect of policy rate is clearly transmitted to the lending rate and inflation rate through the longer responses of interbank market rate, whereas the pre-corridor period does not represent any significant interest rate transmission effects. This outcome implies that the framework of the interest rate corridor has contributed successfully to enhancing monetary policy transmission mechanism, in particular, in controlling inflation rate. Second, the responses of exchange rate and industrial production to the policy rate shock are not significant even after the adoption of the interest rate corridor. This insignificance might come from the sticky policy rate to stabilize the exchange rate, so-called a “fear of floating”. The conclusion throughout the Part I and II is that the Mongolian monetary policy has shown steady progresses in its framework by adopting an inflation targeting and improving its operations; there have been still a serious problem, however, in its management in the sense that the “fear of floating” has prevented its policy rule from working effectively; therefore, the enrichment of foreign reserves in the short-run and the diversification of industries in the long-run should be recommended to enhance the monetary autonomy of Mongolia.; Abstract........................................................................3List of tables..................................................................6List of figures.................................................................7Introduction...................................................................11Part I: Monetary Policy History of MongoliaIntroduction...................................................................13Chapter 1 Surrounding macroeconomic condition of Mongolia......................14Chapter 2 Financial system and monetary policy (1990-2006).....................28 2.1 Monetary policy in transition..........................................28 2.2 Monetary policy framework..............................................33Chapter 3 Economic condition and monetary policy changes (2007-2016)...........35 3.1 Changes in economic condition..........................................35 3.2 Changes in monetary policy.............................................41 3.3 Monetary policy implementation.........................................43Summary........................................................................64Part II: Monetary Policy rule and its performance under inflation targeting in MongoliaIntroduction...................................................................69Chapter 1 Overview of monetary policy framework................................72 1.1 Development of Monetary Policy Framework since the 1990s...............72 1.2 Performance of Inflation Targeting.....................................73 1.3 Monetary Policy Transmission Mechanism.................................76Chapter 2 Analysis of Monetary Policy Rule.....................................78 2.1 Literature Review and Contribution on Monetary Policy Rule.............78 2.2 Empirics on Monetary Policy Rule.......................................81 2.2.1 Sample Data and Key Variables........................................81 2.2.2 Methodology: Policy Reaction Function................................83 2.2.3 Estimation Outcome and its Interpretation............................86 2.3 Policy Suggestions.....................................................91Chapter 3 Analysis of monetary policy transmission.............................94 3.1 Literature Review and Contribution on Monetary Policy Transmission.....94 3.2 Empirics on Monetary Policy Transmission...............................95 3.2.1 Theoretical assumptions and key variables estimation.................96 3.2.2 Methodology for a SVAR model estimation .............................99 3.2.3 Estimation Outcomes and their Interpretations ......................101Summary.......................................................................106CONCLUSION....................................................................108References....................................................................112; 指導教員 : 田口博之
• DOI: 10.24561/00018807; https://doi.org/10.24561/00018807
• Persistent ID (NDL): info:ndljp/pid/11458172; https://dl.ndl.go.jp/pid/11458172
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• Collection (particular): 国立国会図書館デジタルコレクション > デジタル化資料 > 博士論文; https://dl.ndl.go.jp/collections/A00014
• Acquisition Basis: 博士論文（自動収集）
• Date Accepted (W3CDTF): 2020-03-11T23:38:06+09:00
• Date Created (W3CDTF): 2020-01-29
• Format (IMT): application/pdf
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• Periodical Title (URI): http://dx.doi.org/10.24561/00018807; http://id.nii.ac.jp/1586/00018807/
• Data Provider (Database): 国立国会図書館 : 国立国会図書館デジタルコレクション; https://dl.ndl.go.jp

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2023-09-04 再収集