The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables - KDI 한국개발연구원 - 연구 - 보고서
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Policy Study The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables 2013.12.03

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Series No. 2013-01

Policy Study The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables #물가, 이자율 및 통화정책 #금융시장 구조

2013.12.03

  • KDI
    손욱
  • KDI
    Byeongmook Sung
영문요약
This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank’s interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatilities of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates.
목차
Preface
Summary

CHAPTER 1
Introduction

CHAPTER 2
Pattern of Central Bank Rate Changes

CHAPTER 3
Central Banks’ Interest Rates and Financial Market Variables

CHAPTER 4
Association of the Pattern of a Central Bank’s Rate Changes and Its Contribution to Forecast Error Variance of Financial Market Variables

CHAPTER 5
Association of the Pattern of a Central Bank’s Rate Changes and the Movement of the Financial Market Variables

CHAPTER 6
Conclusion

References
관련 자료 ( 9 )
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