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(DP 2009-12) An examination of Philippine monetary policy rules
UPSE Discussion Papers
View Archive Info| Field | Value | |
| Title |
(DP 2009-12) An examination of Philippine monetary policy rules
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| Creator |
Bautista, Carlos C.
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| Description |
A small‐scale open economy dynamic stochastic general equilibrium (DSGE) model is used to examine Philippine monetary policy. The model’s parameters are estimated using Bayesian methods. Posterior odds tests are conducted to compare models with different specifications of the policy rule. These tests indicate that the monetary authorities do not respond systematically to exchange rate movements using the policy interest rate. The study shows that output growth movements can be explained largely by technology shocks, world output movements and terms‐of‐trade changes. Policy parameter estimates show a relatively strong reaction of the monetary authorities to inflation when compared to their response to output and the exchange rate. The study shows that policy rules that give more weight to output reflect responses of monetary authorities which are different from those represented by other rules. This is the case in models with the output growth rule. In these models, a termsof‐trade deterioration that leads to currency depreciation, inflation and output contraction induces the monetary authorities to lower its policy rate to mitigate its effects on output. By contrast in other models, the policy rate is raised upon impact of the terms‐of‐trade shock to control inflation.
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| Publisher |
UPSE Discussion Papers
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| Contributor |
—
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| Date |
2010-08-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.econ.upd.edu.ph/dp/index.php/dp/article/view/13
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| Source |
UPSE Discussion Papers; 2009
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| Language |
eng
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| Relation |
http://www.econ.upd.edu.ph/dp/index.php/dp/article/view/13/10
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