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Monetary policy and bond market development: A case of Mongolia

Author

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  • Doojav, Gan-Ochir
  • Damdinsuren, Batnyam
  • Baasansuren, Lkhagvajav

Abstract

In this paper we have three principal objectives. First, we measure the bond market development in Mongolia. Second, we analyse in some detail the stock markets response to monetary policy actions using VAR (vector autoregression) analysis. Third, we study determinants (include monetary policy variables and other macro economic variables) of Mongolian bond market development using VAR analysis. We find that bond market in Mongolia remain underdeveloped compared to markets in Latin America, East Asia, developed countries and some countries of ESCAP Member States (Pakistan and Sri Lanka).The results also show that the macroeconomic stability and financial intermediary development is important predicators of bond market capitalisation, while the real income level and bond market liquidity does not prove significant.

Suggested Citation

  • Doojav, Gan-Ochir & Damdinsuren, Batnyam & Baasansuren, Lkhagvajav, 2007. "Monetary policy and bond market development: A case of Mongolia," MPRA Paper 72193, University Library of Munich, Germany, revised May 2007.
    • Handle: RePEc:pra:mprapa:72193
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    References listed on IDEAS

    as
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    6. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
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    More about this item

    Keywords

    Stock market; VAR model; monetary policy; Mongolia;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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