Reverse Repurchase Rate on Selected Monetary Policy Indicators: A Vector Autoregression
Декабрь 2022  //  DOI: 10.53378/352936
Martin Roy Base

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Reverse Repurchase Rate on Selected Monetary Policy Indicators: A Vector Autoregression Image
Abstract

This study evaluated the effectiveness of the reverse repurchase (RRP) rate as the main monetary policy instrument of the Bangko Sentral ng Pilipinas in affecting selected monetary policy indicators, particularly output gap, inflation, and nominal exchange rate, through a modified New Keynesian monetary policy model using vector autoregression (VAR). The results showed that changes in the RRP rate affects output gap, inflation, and nominal exchange rate, albeit not statistically significant. In addition, the “price puzzle” was seen in the results. This pertains to an increase in inflation after monetary policy contraction which is in contrast with the standard monetary policy theory.

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