본문 바로가기
KERD
논문KCI 등재

DOES FINANCIAL DEVELOPMENT EXPLAIN THE CYCLICALITY OF MONETARY POLICY IN SUB-SAHARAN AFRICA?

ITCHOKO MOTANDE MONDJELI MWA NDJOKOU|CHRISTOPHE MARTIAL MBASSI
경제연구소 (Hanyang Economic Research Institute)|2018.12|Journal of Economic Development|제43권 제4호|pp. 71-83|DOI 10.35866/caujed.2018.43.4.004

1

조회

0

다운로드

0

인용

0

참고문헌

키워드

GMMMonetary PolicyFinancial DevelopmentBusiness-cycle
주제분류경제학

초록

This paper evaluates the influence of financial development on the cyclicality of monetary policy in a sample of 22 Sub Saharan African countries. We use a GMM model to estimate an equation of monetary policy stance based on Taylor’s rule over the period 1984-2012. We obtain the following results. Monetary policy is pro-cyclical in Sub Saharan African countries. Central Banks implement counter-cyclical monetary policy when the country exhibits high level of financial development and pro-cyclical monetary policy in the presence of low level of financial development. The threshold level at which monetary policy is a-cyclical lies between 15% and 18%.

Abstract

This paper evaluates the influence of financial development on the cyclicality of monetary policy in a sample of 22 Sub Saharan African countries. We use a GMM model to estimate an equation of monetary policy stance based on Taylor’s rule over the period 1984-2012. We obtain the following results. Monetary policy is pro-cyclical in Sub Saharan African countries. Central Banks implement counter-cyclical monetary policy when the country exhibits high level of financial development and pro-cyclical monetary policy in the presence of low level of financial development. The threshold level at which monetary policy is a-cyclical lies between 15% and 18%.

참고문헌 (30)

  1. Agénor, P.R., "Excess Liquidity, Bank Pricing Rules, and Monetary Policy", Journal of Banking and Finance, 34, pp.923~933 (2010)
  2. Aguiar, M., "Emerging Market Business Cycles : The Cycle is the Trend", Journal of Political Economy, 115(1), pp.69~102 (2007)
  3. Baxter, M., "Measuring Business Cycles : Approximate Band-pass Filters for Economic Time Series", Review of Economics and Statistics, 81, pp.575~593 (1999)
  4. Bobbo, A., "Régime de change et cyclicité de la politique budgétaire dans les pays africains", Actualité Economique, 92(3), pp.515~544 (2016)
  5. The Role of Credibility in the Cyclical Properties of Macroeconomic Policies in Emerging Economies, "Calderón, C.", Central Bank of Chile, ~, pp.Working Papers No. 237 (2003)
  6. Institutions and Cyclical Properties of Macroeconomic Policies, "Calderón, C.", Central Bank of Chile, ~, pp.Working Papers No. 285 (2004)
  7. Calderón, C., "Do Good Institutions Promote Counter-Cyclical Macroeconomic Policies?", Oxford Bulletin of Economics and Statistics, 78(5), pp.650~670 (2016)
  8. Calvo, G., "Fear of Floating", Quarterly Journal of Economics, 107, pp.379~408 (2002)
  9. Carmignani, F., "Cyclical Fiscal Policy in Africa", Journal of Policy Modelling, 32, pp.254~267 (2010)
  10. Monetary Policy in Emerging Market Economies: What Lessons from the Global Financial Crisis?, "Coulibaly, B.", Board of Governors of the Federal Reserve System, ~ (2012)
  11. The Cyclicality of Monetary and Fiscal Policy in South Africa since 1994, "Du Plessis, S.", ~, pp.Stellenbosch Economic Working Papers No. 12 (2007), 07
  12. Duncan, R., "Institutional Quality, the Cyclicality of Monetary Policy and Macroeconomic Volatility", Journal of Macroeconomics, 39, pp.113~155 (2014)
  13. Fiscal Policy and Monetary Integration in Europe, "Gali, J.", CEPR, ~, pp.CEPR Discussion Papers No. 3933 (2002)
  14. Procyclical Fiscal Policy in Developing Countries:Truth or Fiction?, "Ilzetzki, E.", NBER, ~, pp.NBER Working Paper No. 14191 (2008)
  15. Kaminsky, G.L., "When It Rains, It Pours:Procyclical Capital Flows and Macroeconomic Policies", NBER Macroeconomics Annual 2004 (2005), National Bureau of Economic Research
  16. Kasekende, L., "Africa : Africa’s Counter-Cyclical Policy Responses to the Crisis", Journal of Globalisation and Development, 1(1), pp.1~20 (2010)
  17. Lane, P. R., "Business Cycles and Macroeconomic Policy in Emerging Market Economies", International Finance, 6, pp.89~108 (2003)
  18. Lubik, T.A., "Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation", Journal of Monetary Economics, 54, pp.1069~1087 (2007)
  19. Monetary Policy in Emerging Markets : Taming the Cycle, "McGettigan, D.", IMF, ~, pp.IMF Working Paper No. 96 (2013)
  20. Mondjeli M. N. I. M., "Institutions and Procyclicality of Fiscal Policy in Sub Saharan Africa", Economics Bulletin, 37(2), pp.1365~1380 (2017)
  21. North, D. C., "Institutions, Institutional Change, and Economic Performance", Economic Perspective, 5(1), pp.97~112 (1990)
  22. General Diagnostic Tests for Cross Section Dependence in Panels, "Pesaran, M.", IZA, ~, pp.IZA Discussion Paper No. 1240 (2004)
  23. Pesaran, M., "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence", Journal of Applied Econometrics, 22, pp.265~312 (2007)
  24. Ravn, M.O., "On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations", Review of Economics and Statistics, 84, pp.371~375 (2002)
  25. Excess Liquidity and Effectiveness of Monetary Policy : Evidence from Sub-Saharan Africa, "Saxegaard, M.", IMF, ~, pp.IMF Working Paper No. 115 (2006)
  26. Talvi, E., "Tax Base Variability and Procyclical Fiscal Policy", Journal of Development Economics, 78, pp.156~190 (2005)
  27. Taylor, J. B., "Discretion versus Policy Rules in Practice", Carnegie-Rochester Conference Series on Public Policy, 39, pp.195~214 (1993)
  28. Overcoming the Fear of Free Falling : Monetary Policy Graduation in Emerging Markets, "Vegh, C.A.", NBER, ~, pp.NBER Working Paper No. 18175 (2012)
  29. Woodford, M., "The Taylor Rule and Optimal Monetary Policy", American Economic Review, 91(2), pp.232~237 (2001)
  30. Financial Integration and Cyclicity Monetary Policy in Small Open Economies, "Yakhin, Y.", ~, pp.Discussion Paper No. 8-11 (2008)

관련 논문AI추천

FOREIGN CAPITAL FLOWS, FINANCIAL DEVELOPMENT AND GROWTH IN SUB-SAHARAN AFRICAAFEES SALISU, BELLO AJIDE, OLUWATOSIN ADENIYI경제연구소 · Journal of Economic Development2015 · 제40권 제3호Does financial development promote export diversification in Sub-Saharan Africa?Charles Adjasi, Richard Kofi Akoto경제연구소 · Journal of Economic Research (JER)2020 · 제25권 제2호HOW DO MIDDLE-INCOME COUNTRIES FARE UNDER AN INFLATION TARGETING REGIMENAJIB KHAN경제연구소 · Journal of Economic Development2022 · 제47권 제4호EVOLUTION OF MONETARY POLICY TRANSMISSION MECHANISM IN MALAWI: A TVP-VAR APPROACHCHANCE NGAMANYA MWABUTWA, MANOEL BITTENCOURT, NICOLA VIEGI경제연구소 · Journal of Economic Development2016 · 제41권 제1호FINANCE AND GROWTH NEXUS: WHAT ROLE FOR INSTITUTIONS IN DEVELOPED AND DEVELOPING COUNTRIES?ABDELAZIZ HAKIMI, Helmi Hamdi, RASHID SBIA경제연구소 · Journal of Economic Development2017 · 제42권 제4호Inflation targeting and the uncertainty level in developing countriesBenjamin Widner Jr., Osama D. Sweidan경제연구소 · Journal of Economic Research (JER)2014 · 제19권 제2호

이 간행물의 다른 논문 (4건)

WHAT DRIVES BANKING INDUSTRY COMPETITION IN DEVELOPING COUNTRIES?AMIT GHOSHpp. 1-20DEREGULATION, ECONOMIC GROWTH AND GROWTH ACCELERATIONPETAR STANKOVpp. 21-39GOVERNMENT SUPPORTS AND TECHNOLOGY ADOPTION: EVIDENCE FROM TUNISIAADEL BEN KHALIFApp. 41-69THE EFFECT OF FINANCIAL POLICY REFORM ON POVERTY REDUCTIONBOUNMY INTHAKESONE, PHINSENG CHANNGAKHAMpp. 85-100
원문 보기