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Monetary authorities in emerging markets are often reluctant to raise interest rates when dealing with credit booms driven by capital inflows, as they fear that an increase attracts even more capital and appreciates the currency. A number of countries therefore use reserve requirements as an...
Persistent link: https://www.econbiz.de/10013108034
We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies (EMEs). Using a Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock. The identified US QE shock is then used in a monthly Bayesian panel VAR for EMEs...
Persistent link: https://www.econbiz.de/10011786694
We examine, using a monthly dataset from 2007 to 2020, the US interest rate shocks' effects on exchange rates, broad money aggregates, and foreign exchange reserves in emerging market economies (EMEs) post global financial crisis. To evaluate the impact of unconventional monetary policy...
Persistent link: https://www.econbiz.de/10015394239
In this paper we examine the channels through which innovations to policy variables - policy rates or monetary aggregates - affect such macroeconomic variables as output and inflation in Sri Lanka. The effectiveness of monetary policy instruments is judged through the prism of conventional...
Persistent link: https://www.econbiz.de/10013043713
I employ a sign-identified vector autoregression (VAR) in foreign Treasury purchases and factors of the yield curve to estimate the dynamic impacts of foreign Treasury purchases on Treasury yields. Although a growing literature studies this question, it does not adequately address the...
Persistent link: https://www.econbiz.de/10013043019
Exogenous measures of monetary policy shocks, directly derived from financial market information, are used in close (U.S.) and open (U.S.-Germany) economy VAR models to evaluate the robustness of the dynamic effect of monetary policy obtained from traditional identified VAR. The empirical...
Persistent link: https://www.econbiz.de/10014212157
Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are robust to this problem, and Monte Carlo evidence suggests they provide reliable estimates of the true impulse responses. We use local...
Persistent link: https://www.econbiz.de/10014224464
In this paper, we examine the international transmission of US monetary policy shocks across euro area and Asian countries by using a FAVAR model. We first examine all possible channels through which a policy shock is transmitted to each country. In general the transmission of the shock hides...
Persistent link: https://www.econbiz.de/10014078963
This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a...
Persistent link: https://www.econbiz.de/10012965652
This study analyzes the international transmission of US interest rate hikes using the factor-augmented autoregression model. To achieve this purpose, this study first identifies the shocks that result from the US interest rate policies and analyzes how these shocks impact the outputs and prices...
Persistent link: https://www.econbiz.de/10012907265