Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach. Issue 15 (8th December 2018)

• Record Type: Journal Article
• Authors: Christou, Christina; Naraidoo, Ruthira; Gupta, Rangan; Kim, Won Joong
• Is Part Of: Emerging markets finance & trade. Volume 54:Issue 15(2018)
• Page Start: 3552
• Page End: 3565
• Publication Date: 2018-12-08
• Subjects: emerging markets -- monetary policy -- quantile regression -- Taylor rule; C21 -- C26 -- E52 -- E58; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2017.1422429
• Languages: English
• ISSNs: 1540-496X

Abstract

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.