Monetary Regimes and Share Price Volatility in East Asia

28 Pages Posted: 30 Jan 2013

See all articles by Yu-Ning Hwang

Yu-Ning Hwang

National Chengchi University - Department of Economics

Paul D. McNelis

Fordham University - Gabelli School of Business

Date Written: September 13, 2012

Abstract

This paper applies counter-factual simulation experiments based on a calibrated DSGE model of a small open-economy. We compare the alternative monetary regimes of East Asia: the monetary targeting framework of the Central Bank of the Republic of China, the fixed-rate system practiced in Hong Kong, the Taylor rule used in Korea, and the exchange-rate management policy used in Singapore. The welfare differences are minimal, but the monetary rule of Taiwan delivers significantly lower share market volatility for a variety of shocks.

Keywords: Tobin's Q, volatility, monetary regimes, DSGE models

JEL Classification: E52, E62, F41

Suggested Citation

Hwang, Yu-Ning and McNelis, Paul D., Monetary Regimes and Share Price Volatility in East Asia (September 13, 2012). Fordham University Schools of Business Research Paper, Available at SSRN: https://ssrn.com/abstract=2208641 or http://dx.doi.org/10.2139/ssrn.2208641

Yu-Ning Hwang

National Chengchi University - Department of Economics ( email )

#64, Chih-Nan Rd. Sec. 2
Wen-Shan District
Taipei, 116
Taiwan

Paul D. McNelis (Contact Author)

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
Bronx, NY 10458
United States

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