Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows

Anaya, Pablo; Hachula, Michael; Offermanns, Christian J.

doi:10.1016/j.jimonfin.2017.02.008

Cited by 137 publications

(84 citation statements)

References 47 publications

(45 reference statements)

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“…Several studies have investigated the international spillovers of US unconventional monetary policy to other countries (e.g., Ahmed & Zlate, 2014;Ahmed et al, 2017;Anaya et al, 2017;Barroso et al, 2016;Bowman et al, 2015;Chen et al, 2016;Fratzscher et al, 2016;Gambacorta et al, 2014;Georgiadis, 2016;Hausman & Wongswan, 2011;Rogers et al, 2014;Tillmann, 2016). This paper examines the spillovers of US conventional and unconventional monetary policies to Russian financial markets.…”

Section: Introductionmentioning

confidence: 99%

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Ono

2018

IJEF

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This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

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Section: Introductionmentioning

confidence: 99%

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Ono

2018

IJEF

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“…There are also findings from vector auto regression (VAR) analysis suggesting that expansionary UMP shocks have positive impact on the real variables such as price and output (Gambacorta, Hofmann, & Peersman, 2014). Studies using global VAR models are also along the same lines (Anaya, Hachula, & Offermanns, 2017;Chen et al, 2016).…”

Section: Literature Reviewmentioning

confidence: 92%

Unconventional monetary policy spillovers: Evidence from India

Thomas

Kumar

2019

Journal of Public Affairs

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Many of the studies on the unconventional monetary policy spillover effects concentrated primarily on the policy announcements of the U.S. Federal Reserve. Using a time series approach, with dummies in the event study framework, this study estimates the monetary policy spillover effects of the unconventional monetary policy announcements of the central banks of four major economic regions: the United States, the United Kingdom, European Central bank, and Japan on the asset prices in India. In addition to that, this study estimates the asymmetry in the responses to positive and negative surprise announcements. The study reveals that unconventional monetary surprises do not have any significant impact on the asset prices in India in a narrow time window.

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“…Anaya, Hachula, and Offermanns (2015) estimated a global VAR and found that the Fed's increase in balance sheet assets led to an increase in US portfolio outflows and EME portfolio inflows. As a result, EMEs lowered their policy rate.…”

Section: Related Literaturementioning

confidence: 99%

“…Krippner (2013), Lombardi and Zhu (2014), and Wu and Xia (2015) provided an estimated shadow interest rate to accommodate UMPs. 3 Gambacorta, Hofmann, and Peersman (2014) and Anaya, Hachula, and Offermanns (2015) identified UMP shock with an exogenous innovation to the Fed balance sheet. 4 Miyajima, Mohanty, and Yetman (2014) relied on decreasing US 10-year long-term bond yield and compressing US term premium to replicate UMPs.…”

Section: Baseline Impulse Responsesmentioning

confidence: 99%

Spillover Effects of Unconventional Monetary Policy in Asia and the Pacific

Punzi

Chantapacdepong

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Asian Development Bank InstituteThe Working Paper series is a continuation of the formerly named Discussion Paper series; the numbering of the papers continued without interruption or change. ADBI's working papers reflect initial ideas on a topic and are posted online for discussion. ADBI encourages readers to post their comments on the main page for each working paper (given in the citation below). Some working papers may develop into other forms of publication.ADB recognizes "China" as the People's Republic of China; "Hong Kong" as Hong Kong, China; and "Korea" as the Republic of Korea. The views expressed in this paper are the views of the author and do not necessarily reflect the views or policies of ADBI, ADB, its Board of Directors, or the governments they represent. ADBI does not guarantee the accuracy of the data included in this paper and accepts no responsibility for any consequences of their use. Terminology used may not necessarily be consistent with ADB official terms.Working papers are subject to formal revision and correction before they are finalized and considered published.Asian Development Bank Institute Kasumigaseki Building 8F 3-2-5 Kasumigaseki, Chiyoda-ku Tokyo 100-6008, JapanTel:+81-3-3593-5500 Fax:+81-3-3593-5571 URL:www.adbi.org E-mail: info@adbi.org AbstractWe assess the evolution of spillover effects of unconventional monetary policies (UMPs) on Asia and the Pacific region, and evaluate the impact on and implications for the macroeconomy. We develop a Panel Vector Auto Regression model for Asia and the Pacific region for a period covering data from first quarter 2000 until first quarter 2015. We split the overall sample into two subsets: the Pre-Crisis (2000q1-2006q4) and Post-Crisis (2009q1-2015q1) samples. We identify UMP shocks with a shadow interest rate estimated by Krippner (2013).We find that Asia and the Pacific region has responded to the advanced economies' actions with accommodative monetary policy. Such lower interest rates were coupled with currency appreciation, asset price inflation, and strong movements in capital flows. Foreign investors have shifted their preferences for bonds in Asia and the Pacific. If prior to the Global Financial Crisis (GFC), the "global saving glut" hypothesis (i.e., Asian savings flight to the US) was one of the major effects resulting in booming US house prices, it is clear that a reversal effect has dominated the economy after the GFC: funds flight to As...

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Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows

Cited by 137 publications

References 47 publications

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

Unconventional monetary policy spillovers: Evidence from India

Spillover Effects of Unconventional Monetary Policy in Asia and the Pacific

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