Volatility in the call money rate and efficacy of monetary policy operations in Bangladesh

Working paper


Shahiduzzaman, Md and Naser, Mahmud Salahuddin. 2007. Volatility in the call money rate and efficacy of monetary policy operations in Bangladesh. Dhaka, Bangladesh. Bangladesh Bank.
Title

Volatility in the call money rate and efficacy of monetary policy operations in Bangladesh

Report TypeWorking paper
AuthorsShahiduzzaman, Md (Author) and Naser, Mahmud Salahuddin (Author)
Page Range43-50
Number of Pages23
SeriesWorking Paper
Year2007
PublisherBangladesh Bank
Place of PublicationDhaka, Bangladesh
Web Address (URL)http://www.bb.org.bd/openpdf.php
Abstract

This paper examines the pattern of volatility in the call money rate and its association to monetary policy operations of Bangladesh Bank (BB). In the process, it explores empirical issues like the comovement of money market rates and the presence of heteroscedasticity in the call money rate. The first stage analysis supports the view that money market rates co-move and there is a co-integration relationship between overnight money market rate and BB's policy interest rates. At the second stage,
long-run properties of the data were incorporated while trying to investigate the efficacy of operational policy of BB in the indirect policy regime by separating the short-run and long-run effects. As the variances of the error terms are not constant, OLS estimation provides a false sense of precision. A GARCH model is therefore estimated which suggests that the operational policy of BB is
effective in influencing the rate volatility in Bangladesh. The empirical evidence of this study will assist in better understanding the interest rate channel of monetary transmission, overnight money market behavior, and operational policy of BB.

Keywordscall money rate; volatility; policy rate; co-movement
ANZSRC Field of Research 2020350208. Investment and risk management
380399. Economic theory not elsewhere classified
440703. Economic development policy
Public Notes

Copyright © 2007 by Bangladesh Bank

Byline AffiliationsBangladesh Bank, Bangladesh
Journal TitleBank Parikrama, in press, Bangladesh Bank Quarterly
Permalink -

https://research.usq.edu.au/item/9z59w/volatility-in-the-call-money-rate-and-efficacy-of-monetary-policy-operations-in-bangladesh

Download files


Published Version
wp0802[1].pdf
File access level: Anyone

  • 1873
    total views
  • 371
    total downloads
  • 1
    views this month
  • 1
    downloads this month

Export as

Related outputs

Impact of ICTs on Innovation and Performance of Firms: Do Start-ups, Regional Proximity and Skills Matter?
Alam, Khorshed, Ali, Mohammad Afshar, Erdiaw-Kwasie, Michael, Shahiduzzaman, Md, Velayutham, Eswaran, Murray, Peter A. and Wiesner, Retha. 2022. "Impact of ICTs on Innovation and Performance of Firms: Do Start-ups, Regional Proximity and Skills Matter?" Sustainability. 14 (10), pp. 1-18. https://doi.org/10.3390/su14105801
Assessing regional digital competence: Digital futures and strategic planning implications
Alam, Khorshed, Erdiaw-Kwasie, Michael, Shahiduzzaman, Md and Ryan, Barbara. 2018. "Assessing regional digital competence: Digital futures and strategic planning implications." Journal of Rural Studies. 60, pp. 60-69. https://doi.org/10.1016/j.jrurstud.2018.02.009
Trade-off between CO2 emissions and income: is there any evidence of an Environmental Kuznets Curve in Australia?
Shahiduzzaman, Md and Alam, Khorshed. 2017. "Trade-off between CO2 emissions and income: is there any evidence of an Environmental Kuznets Curve in Australia?" Applied Economics Quarterly. 63 (2), pp. 211-231. https://doi.org/10.3790/aeq.63.2.211
Bettering corporate social responsibility through empowerment and effective engagement practices: an Australian mining perspective
Erdiaw-Kwasie, Michael O., Alam, Khorshed and Shahiduzzaman, Md.. 2014. "Bettering corporate social responsibility through empowerment and effective engagement practices: an Australian mining perspective." Higgins, Colin, Hendry, Jamie R. and VanSandt, Craig V. (ed.) Reclaiming the Societal Dimension: 25th Annual Conference of the International Association for Business and Society (IABS). Sydney, Australia 19 - 22 Jun 2014 USA.
Decomposition analysis for assessing the United States 2025 emissions target: how big is the challenge?
Shahiduzzaman, Md and Layton, Allan. 2017. "Decomposition analysis for assessing the United States 2025 emissions target: how big is the challenge?" Renewable and Sustainable Energy Reviews. 67, pp. 372-383. https://doi.org/10.1016/j.rser.2016.08.042
Decomposition analysis to examine Australia's 2030 GHGs emissions target: how hard will it be to achieve?
Shahiduzzaman, Md and Layton, Allan. 2015. "Decomposition analysis to examine Australia's 2030 GHGs emissions target: how hard will it be to achieve?" Economic Analysis and Policy. 48, pp. 25-34. https://doi.org/10.1016/j.eap.2015.10.003
On the contribution of information and communication technology to productivity growth in Australia
Shahiduzzaman, Md, Layton, Allan and Alam, Khorshed. 2015. "On the contribution of information and communication technology to productivity growth in Australia." Economic Change and Restructuring: an international journal devoted to the study of comparative economics, planning and development. 48 (3-4), pp. 281-304. https://doi.org/10.1007/s10644-015-9171-9
Towards understanding stakeholder salience transition and relational approach to 'better' corporate social responsibility: a case for a proposed model in practice
Erdiaw-Kwasie, Michael O., Alam, Khorshed and Shahiduzzaman, Md.. 2017. "Towards understanding stakeholder salience transition and relational approach to 'better' corporate social responsibility: a case for a proposed model in practice." Journal of Business Ethics. 144 (1), pp. 85-101. https://doi.org/10.1007/s10551-015-2805-z
Shaping our economic future: an e-impact study of small and medium enterprises in the Western Downs region, Queensland
Alam, Khorshed and Shahiduzzaman, Md. 2015. Shaping our economic future: an e-impact study of small and medium enterprises in the Western Downs region, Queensland. Toowoomba, Queensland. University of Southern Queensland.
Changes in CO2 emissions over business cycle recessions and expansions in the United States: a decomposition analysis
Shahiduzzaman, Md. and Layton, Allan. 2015. "Changes in CO2 emissions over business cycle recessions and expansions in the United States: a decomposition analysis ." Applied Energy. 150, pp. 25-35. https://doi.org/10.1016/j.apenergy.2015.04.007
Decomposition of energy-related CO2 emissions in Australia: challenges and policy implications
Shahiduzzaman, Md., Layton, Allan and Alam, Khorshed. 2015. "Decomposition of energy-related CO2 emissions in Australia: challenges and policy implications." Economic Analysis and Policy. 45, pp. 100-111. https://doi.org/10.1016/j.eap.2014.12.001
The long-run impact of information and communication technology on economic output: the case of Australia
Shahiduzzaman, Md. and Alam, Khorshed. 2014. "The long-run impact of information and communication technology on economic output: the case of Australia." Telecommunications Policy. 38 (7), pp. 623-633. https://doi.org/10.1016/j.telpol.2014.02.003
Community preferences for digital futures: a regional perspective
Alam, Khorshed and Shahiduzzaman, Md. 2013. "Community preferences for digital futures: a regional perspective." Dalziel, Paul (ed.) 37th Annual Conference of the Australia and New Zealand Regional Science Association International (ANZRSAI 2013): Regions that Work: Research, Practice and Policy. Hervey Bay, Australia 03 - 06 Dec 2013 Canterbury, New Zealand.
A reassessment of energy and GDP relationship: the case of Australia
Shahiduzzaman, Md. and Alam, Khorshed. 2014. "A reassessment of energy and GDP relationship: the case of Australia." Environment, Development and Sustainability: a multidisciplinary approach to the theory and practice of sustainable development. 16 (2), pp. 323-344. https://doi.org/10.1007/s10668-013-9479-4
Information technology and its changing roles to economic growth and productivity in Australia
Shahiduzzaman, Md. and Alam, Khorshed. 2014. "Information technology and its changing roles to economic growth and productivity in Australia." Telecommunications Policy. 38 (2), pp. 125-135. https://doi.org/10.1016/j.telpol.2013.07.003
Interfuel substitution in Australia: a way forward to achieve environmental sustainability
Shahiduzzaman, MD and Alam, Khorshed. 2014. "Interfuel substitution in Australia: a way forward to achieve environmental sustainability." The Australian Journal of Agricultural and Resource Economics. 58 (1), pp. 22-42. https://doi.org/10.1111/1467-8489.12017
Community preferences for digital futures: regional perspectives
Alam, Khorshed and Shahiduzzaman, Md. 2013. Community preferences for digital futures: regional perspectives. Toowoomba, Australia. University of Southern Queensland.
A reassessment of energy and GDP relationship: a case of Australia
Shahiduzzaman, Md and Alam, Khorshed. 2012. A reassessment of energy and GDP relationship: a case of Australia. Germany. Munich University Library.
Will Japan increase aid and improve its allocation to help the poorer countries achieve the millennium development goals?
Cooray, N. S., Gottschalk, Ricardo and Shahiduzzaman, Md.. 2005. Will Japan increase aid and improve its allocation to help the poorer countries achieve the millennium development goals? Brighton, Sussex. United Kingdom. University of Sussex.
Should Bangladesh monitor core inflation for conducting monetary policy?
Shahiduzzaman, Md. and Mortaza, M. Golam. 2008. Should Bangladesh monitor core inflation for conducting monetary policy? Dhaka, Bangladesh. Bangladesh Bank.
CO2 emissions and income trajectory in Australia: the role of technological change
Shahiduzzaman, Md and Alam, Khorshed. 2012. "CO2 emissions and income trajectory in Australia: the role of technological change." International Journal of Business Research. 12 (5), pp. 102-117.
Development of non bank financial institutions to strengthen the financial system of Bangladesh
Hossain, Monzur and Shahiduzzaman, Md.. 2002. "Development of non bank financial institutions to strengthen the financial system of Bangladesh." Bank Parikrama. 27 (1), pp. 1-21.
Towards a measure of core inflation in Bangladesh: conceptual issues
Shahiduzzaman, Md.. 2006. Towards a measure of core inflation in Bangladesh: conceptual issues . Dhaka, Bangladesh . Bangladesh Bank.
Volatility in the overnight money-market rate in Bangladesh: recent experiences
Shahiduzzaman, Md. and Naser, Mahmud Salahuddin. 2007. Volatility in the overnight money-market rate in Bangladesh: recent experiences. Dhaka, Bangladesh. Bangladesh Bank.
A measure of core inflation in Bangladesh
Shahiduzzaman, Md. 2006. A measure of core inflation in Bangladesh. Dhaka, Bangladesh. Bangladesh Bank.
Changes in energy efficiency in Australia: a decomposition of aggregate energy intensity using logarithmic mean Divisia approach
Shahiduzzaman, Md and Alam, Khorshed. 2013. "Changes in energy efficiency in Australia: a decomposition of aggregate energy intensity using logarithmic mean Divisia approach." Energy Policy. 56, pp. 341-351. https://doi.org/10.1016/j.enpol.2012.12.069
Relationship between CO2 emissions and income in Australia: is there any evidence of an EKC?
Shahiduzzaman, Md and Alam, Khorshed. 2012. "Relationship between CO2 emissions and income in Australia: is there any evidence of an EKC?" Doughney, Jamie and Hoa, Tran Van (ed.) 41st Australian Conference of Economists (ACE 2012). Melbourne, Australia 08 - 12 Jul 2012 Melbourne, Australia.
Cointegration and causal relationships between energy consumption and output: assessing the evidence from Australia
Shahiduzzaman, Md and Alam, Khorshed. 2012. "Cointegration and causal relationships between energy consumption and output: assessing the evidence from Australia." Energy Economics. 34 (6), pp. 2182-2188. https://doi.org/10.1016/j.eneco.2012.03.006
Energy-output linkages in Australia: Implications for emissions reduction policies
Shahiduzzaman, Md. and Alam, Khorshed. 2011. "Energy-output linkages in Australia: Implications for emissions reduction policies." Journal of Applied Business and Economics. 12 (3), pp. 48-60.
Energy consumption, economic growth and CO2 emissions in Australia: the potential for energy conservation
Shahiduzzaman, Md.. 2012. Energy consumption, economic growth and CO2 emissions in Australia: the potential for energy conservation. PhD Thesis Doctor of Philosophy. University of Southern Queensland.
Navigating the global financial storm: challenges for Bangladesh
Mujeri, Mustafa K. and Shahiduzzaman, Md.. 2008. Navigating the global financial storm: challenges for Bangladesh. Dhaka, Bangladesh. Bangladesh Bank.
CO2 emissions and income trajectory in Australia: the role of multifactor productivity
Shahiduzzaman, Md. and Alam, Khorshed. 2010. "CO2 emissions and income trajectory in Australia: the role of multifactor productivity." 39th Australian Conference of Economists (ACE 2010). Sydney, Australia 27 - 29 Sep 2010 Sydney, Australia.
Measuring inflationary pressure in Bangladesh: the P-star approach
Mujeri, Mustafa K., Shahiduzzaman, Md. and Islam, Md. Ezazul. 2009. Measuring inflationary pressure in Bangladesh: the P-star approach. Dhaka, Bangladesh. Bangladesh Bank.
Determinants of Japanese aid allocation: an econometric analysis
Cooray, N. S. and Shahiduzzaman, Md.. 2004. "Determinants of Japanese aid allocation: an econometric analysis." International Development Series . 2004 (4), pp. 2-19.
Inflation and food security: some emerging issues in developing countries
Alam, Khorshed and Shahiduzzaman, Md.. 2008. "Inflation and food security: some emerging issues in developing countries." 37th Australian Conference of Economists (ACE 2008). Gold Coast, Australia 30 Sep - 04 Oct 2008 Brisbane, Australia.