Monetary Policy Rule under Inflation Targeting in Mongolia

Taguchi, Hiroyuki; Khishigjargal, Erdenechuluun

doi:10.11644/kiep.eaer.2018.22.4.353

Cited by 6 publications

(5 citation statements)

References 17 publications

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“…The GMM estimation is conducted for the total sample period (2007Q3-2019Q4), and also for the first half (2007Q3-2011Q4) and the second half (2012Q1-2019Q4) periods, since the whole period with an inflation targeting has two different phases as was described in Section 2: the first phase with economic disturbances and high inflation, and the second phase with moderate inflation and policy improvements. The breakpoint in the total sample is set at 2012Q1 following the previous study of Taguchi and Khishigjargal (2018), and this study also reconfirmed the breakpoint statistically by the Chow's breakpoint test: the F-statistic (7.166) rejected the hypothesis of parameter stability over different periods with the breakpoint being 2012Q1 with a probability of more than 99 percent.…”

Section: Gmm Estimationsupporting

confidence: 72%

“…Compared with the previous studies on the Mongolian monetary policy rule, this study and Taguchi and Khishigjargal (2018) commonly verifies an inflation-responsive rule, but it is in this study, not in Taguchi and Khishigjargal (2018), that the conformity to the Taylor principle is identified. This is probably due to this study's updating of the sample data by adding the period for 2018-2019 with the inflation being well-controlled under the improved management of an inflation targeting.…”

Section: Discussion On Estimation Outcomescontrasting

confidence: 45%

“…Regarding the monetary policy rule of Mongolia, one of the adopters of an inflation targeting in Asia, there have been no studies except Taguchi and Khishigjargal (2018), which examined it quantitatively with a policy reaction function. Taguchi and Khishigjargal (2018) described the Mongolian recent rule as an inflation-responsive rule with a forward-looking manner, but with its response weak enough to be pro-cyclical to inflation pressure (against the Taylor principle) due to the "fear of floating". This study's contribution, particularly related to Taguchi and Khishigjargal (2018), could be highlighted as follows.…”

Section: Literature Review and This Study's Contributionsmentioning

confidence: 99%

“…Taguchi and Khishigjargal (2018) described the Mongolian recent rule as an inflation-responsive rule with a forward-looking manner, but with its response weak enough to be pro-cyclical to inflation pressure (against the Taylor principle) due to the "fear of floating". This study's contribution, particularly related to Taguchi and Khishigjargal (2018), could be highlighted as follows. First, this study re-examines the Mongolian monetary policy reaction function by using updated sample data.…”

Section: Literature Review and This Study's Contributionsmentioning

confidence: 99%

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Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches

Taguchi

Ganbayar

2020

IJFS

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This article aims to examine the monetary policy rule under an inflation targeting in Mongolia with a focus on its conformity to the Taylor principle, through two kinds of approaches: a monetary policy reaction function by the generalized-method-of-moments (GMM) estimation and a New Keynesian dynamic stochastic general equilibrium (DSGE) model with a small open economy version by the Bayesian estimation. The main findings are summarized as follows. First, the GMM estimation identified an inflation-responsive rule fulfilling the Taylor principle in the recent phase of the Mongolian inflation targeting. Second, the DSGE-model estimation endorsed the GMM estimation by producing a consistent outcome on the Mongolian monetary policy rule. Third, the Mongolian rule was estimated to have a weaker response to inflation than the rules of the other emerging Asian adopters of an inflation targeting.

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Section: Gmm Estimationsupporting

confidence: 72%

Section: Discussion On Estimation Outcomescontrasting

confidence: 45%

Section: Literature Review and This Study's Contributionsmentioning

confidence: 99%

Section: Literature Review and This Study's Contributionsmentioning

confidence: 99%

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Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches

Taguchi

Ganbayar

2020

IJFS

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“…Regarding the high interest rate in Mongolian financial market in recent times, it seems to be caused by the policy stance of the Mongolian monetary authority. Taguchi and Khishigjargal (2018) and Taguchi and Enkhbaatar (2019) argued that the high policy rate in Mongolia would reflect the fact that the Mongolian monetary authority has been suffering from so-called "fear of floating" proposed by Calvo and Reinhart (2002): the policy rate has been too sensitive to the balance-of-payment position and the fluctuation of exchange rate. In order to normalize the level of policy rate, they suggested that: Mongolian economy should have more foreign reserves to cope with foreign capital mobility; and from the long-term perspective, the economy should diversify manufacturing industries to maximize the advantage of currency depreciation in export side and to minimize its disadvantage in import side.…”

Section: Mongolia-specific Factorsmentioning

confidence: 99%

The Development Stage of Bond Market in Mongolia among Asian Countries

Taguchi¹,

Bolormaa²

2019

AEF

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This paper aims to address the issue on bond market development by investigating the determinants of bond market development with a focus on Asian economies, and also by identifying the impediment factors to prevent its development in Mongolian economy. This paper contributes to the literature by enriching evidence of the determinants of bond market development with a focus on Asian economies with common characteristics such as their high dependence on banking sectors. In particular, while there have been few studies on an individual economy's bond market, the strategic contribution is to identify the Mongolia-specific factors to prevent her bond market development among Asian economies. The estimation result shows that the two manageable variables, namely, bureaucracy quality and level of interest rate, are major determinants for both public and private bond market development in Asian economies, and also that these determinants are main factors to prevent the Mongolian bond market from developing.

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Inflation Targeting and Pass-Through Effect in Mongolia

Jambaldorj

2023

New Frontiers in Regional Science: Asian Perspectives

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This paper aims to provide empirical evidence on the relationship between inflation targeting and the pass-through effect from exchange rate to consumer prices, focusing on the case of Mongolia. The study estimates a vector-autoregressive model, and examines the impulse responses of consumer prices to the shock of exchange rate for the pre-inflation targeting period and the post-inflation targeting period. The empirical analysis identified the existence of the pass-through effect during the pre-inflation targeting period and the loss of the pass-through during the post-inflation targeting period. It was speculated that the loss of the pass-through comes from the "forward-looking" monetary policy rule in Mongolian inflation targeting, so that it can work on the expectations of domestic agents such that they are less inclined to change prices in response to a given exchange rate shock.

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Monetary Policy Rule under Inflation Targeting in Mongolia

Cited by 6 publications

References 17 publications

Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches

Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches

The Development Stage of Bond Market in Mongolia among Asian Countries

Inflation Targeting and Pass-Through Effect in Mongolia

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