Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/203372 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ADB Economics Working Paper Series No. 532
Verlag: 
Asian Development Bank (ADB), Manila
Zusammenfassung: 
We assess the effect of the United States (US) and domestic monetary policies on emerging market economies (EMEs) using a panel factor-augmented vector autoregressive model. We find a US policy rate hike outstrips a tantamount hike in EME policy rates in its impacts on EMEs and discover that bond flows are more sensitive to interest rate differentials than are equity flows. Tighter global or EME-specific policy entails divergent responses of growth and inflation in EMEs: in particular, the output loss is greater in those EMEs with higher inflation. When US monetary policy tightens, bond and equity markets in EMEs are prone to outflows. Domestic policy alone is not enough to counteract the effects of global policy shocks on capital flows in EMEs.
Schlagwörter: 
divergent responses
global liquidity
monetary transmission
panel factor-augmented VAR
JEL: 
F32
F42
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.56 MB





Publikationen in EconStor sind urheberrechtlich geschützt.