IMF-货币政策传导异质性：跨国证据（英）-2023.10-59页_1mb

Monetary Policy Transmission Heterogeneity: Cross-Country Evidence Summary

Introduction and Motivation

This paper examines monetary policy transmission across 33 advanced and emerging market economies from 1991Q2 to 2023Q2, addressing heterogeneity due to structural and cyclical factors. The COVID-19 pandemic and subsequent inflation response highlight the importance of understanding how monetary policy affects output and prices.

Methodology

• A novel dataset of monetary policy shocks is constructed using short-term interest rate forecast errors purged of economic state variables.
• Local projection framework is used to estimate impulse response functions for real GDP and consumer prices.
• Shocks are validated against existing literature with high correlation.

Key Findings

• Monetary policy tightening reduces economic activity quickly but inflation and inflation expectations respond more slowly.
• On average, a 100 bps tightening leads to a 0.3% GDP decline within one quarter, with persistent effects up to 8 quarters, and inflation response peaks around 6 quarters.
• Transmission varies significantly across countries and time, contingent on:
  • Structural characteristics (exchange rate regimes, financial development, central bank transparency)
  • Cyclical conditions (economic uncertainty, financial conditions, business cycle stage)
• Expansionary and contractionary shocks behave differently, with contractionary shocks being more effective during strong economic episodes.

Heterogeneity Factors

• Exchange Rate Regimes: Floating rates yield stronger output and price responses; fixed rates limit transmission by closing expenditure switching channels.
• Financial Development: Higher development amplifies transmission, suggesting a stronger credit channel.
• Central Bank Transparency: Improves transmission to prices by better anchoring inflation expectations.
• Uncertainty: Low uncertainty weakens the impact on investment and consumption but strengthens policy effectiveness; high uncertainty diminishes transmission.
• Financial Conditions: Tighter conditions amplify contractionary effects.
• Business Cycle and Policy Coordination: Contractionary shocks boost output during strong growth; monetary-fiscal coordination reinforces policy impacts.

Conclusion

• Heterogeneity in transmission underscores the need for country-specific factors in policy design.
• Recommendations include enhancing financial systems, central bank credibility, and transparency to improve transmission.
• Time-variation post-COVID suggests reduced price transmission, likely due to supply-side factors, informing stabilization policy adjustments.