Output Composition of Monetary Policy Transmission in Mongolia

Chuluunbayar, Delgerjargal (2019): Output Composition of Monetary Policy Transmission in Mongolia.

Abstract

The transmission of monetary policy has been found to differ between countries in the empirical literature. Understanding the degree to which each gross domestic product (GDP) component - investment, consumption and net export - is affected by policy changes is essential to conducting monetary policy. This paper examines the output composition of monetary policy transmission in Mongolia based on data from 2005Q1 to 2019Q2 and three kinds of benchmark VAR models. It is also comparing the results with other countries, finding Mongolian monetary policy transmission is dominated by the investment channel and its response is quicker than comparator countries.

• Item Type: MPRA Paper
• Language: English
• Keywords: Monetary policy transmission, output composition, Vector Auto Regression
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy

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