The spillover effects of <scp>U</scp>.<scp>S</scp>. monetary policy on emerging market economies

Tillmann, Peter; Kim, Geunyoung; Park, Hail

doi:10.1002/ijfe.1720

Cited by 25 publications

(11 citation statements)

References 20 publications

(29 reference statements)

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“… 3 See Bagliano and Morana ( 2012 ), Bauer and Neely ( 2014 ), Fratzscher et al ( 2014 ), Aizenman et al ( 2016 ), Tillmann ( 2016 ), MacDonald ( 2017 ), Tillmann et al ( 2019 ), Ca 'Zorzi et al ( 2020 ), and Ahmed et al ( 2021 ) for a discussion of these spillover effects. Some of these contributions focus on the effects of the Federal Reserve’s large-scale asset purchase (LSAP) program.…”

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confidence: 99%

Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination

Agénor

Silva

2021

Int Econ Econ Policy

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This paper discusses the scope for international macroprudential policy coordination in a financially integrated world economy. It begins with a review of the transmission channels associated with, and the empirical evidence on, financial spillovers and spillbacks. Limitations of the existing literature are also identified. The potential gains associated with cross-border macroprudential coordination, dwelling on both recent analytical contributions and quantitative studies based on multi-country models with financial frictions, are then evaluated. The issue of whether coordination of macroprudential policies simultaneously requires some degree of monetary policy coordination is also discussed. The analysis focuses on the potential for policy coordination between major advanced economies and a group identified as systemically-important middle-income countries (SMICs). Next, practical ways to promote international macroprudential policy coordination are considered. Following a discussion of Basel III’s Principle of reciprocity and ways to improve it, the paper advocates a further strengthening of the current statistical, empirical and analytical work conducted by international financial institutions to evaluate, and raise awareness of, the gains from international coordination of macroprudential policies.

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confidence: 99%

Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination

Agénor

Silva

2021

Int Econ Econ Policy

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“…He tries to find underlying causes of how India and China managed monetary policy and achieved escaping fragile five during the taper tantrum. Using a VAR-X, Tillmann et al (2019) investigate the asymmetric spillover effects of U.S. monetary policy on emerging economies and find that a U.S. tightening has stronger impacts on emerging financial markets than an easing policy does. Besides, the asymmetric impact of the burst in unconventional monetary policies by the Fed and ECB on the financial and macroeconomic variables in EMEs is found by Apostolou and Beirne (2019).…”

Section: Literature Reviewmentioning

confidence: 99%

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

Balcılar

Özdemir

et al. 2020

SSRN Journal

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Any opinions expressed in this paper are those of the author(s) and not those of IZA. Research published in this series may include views on policy, but IZA takes no institutional policy positions. The IZA research network is committed to the IZA Guiding Principles of Research Integrity. The IZA Institute of Labor Economics is an independent economic research institute that conducts research in labor economics and offers evidence-based policy advice on labor market issues. Supported by the Deutsche Post Foundation, IZA runs the world's largest network of economists, whose research aims to provide answers to the global labor market challenges of our time. Our key objective is to build bridges between academic research, policymakers and society. IZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author.

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“…Klein (2018) uses a multivariate BEKK framework and the l 1 ‐filter to study spillover effects between WTI and Brent, and finds that the direction of spillover between WTI and Brent varies with the maturity of futures. Tillmann, Kim, and Park (2019) apply a series of VAR‐X models to investigate the spillover effects of US monetary policy on 10 emerging economies. In addition, Wong (2019) uses the C‐GARCH model with asymmetric effects to explore the volatility spillovers between real exchange rate and real stock price returns in Malaysia.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data

Zhang

2020

Int. J Fin Econ

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In order to test whether Chinese crude oil futures (INE) has already played the role of futures market and whether it has had a significant impact on international benchmark market, we construct the permanent temporary model and Information Share model based on 15 min of high‐frequency trading data from March 26, 2018 to October 30, 2018 to inspect the proportions of new information in INE and Brent markets, and use the Garbade‐Silber model to measure the risk transfer effect. Furthermore, the generalised spillover index is proposed to examine the effects of return and volatility spillovers among INE, WTI and Brent futures markets. The results reveal that: firstly, during the sample period, INE is not yet a promoter of international benchmark crude oil prices, but more obvious followers. Secondly, although INE has begun to display the price discovery function, it is weaker than that of Brent, and the risk transfer function between them does not appear strong. Finally, INE market mainly acts as a net transmitter of return spillover before August 2018, but it has almost always been the net transmitter of volatility spillover during the full sample period. These findings are of interest to policy makers as well as investors for risk hedging and asset allocation of crude oil portfolios.

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The spillover effects of U.S. monetary policy on emerging market economies

Cited by 25 publications

References 20 publications

Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination

Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data

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