VAR Analysis of Monetary Policy Transmission Mechanisms: Empirical Study on Five Asian Countries after the Asian Crisis

摘要: This article employs VAR to analyze monetary policy transmission mechanisms of in Indonesia Korea Malaysia the Philippines and Thailand (ASIA‑5 after Asian crisis. In order resolve "price puzzle"usually found prior studies that applied recursive Choleski decomposition this proposes set identifying restrictions on coefficient matrix innovations are based empirical Granger causality cointegration relationships among variables systems. The results study confirmed superiority over scheme terms less puzzled signs impulse responses endogenous system interest rate disturbance. Despite different economic structures ASIA‑5 asset price relatively represents most sensitive variable shock all model; however with a puzzle its sign response function. second is output followed respectively by real effective exchange bank credit price. findings indicate stickiness. Moreover foregone fluctuations stock indices as well rates tradeoffs for control.