Arbeitspapier
Divergent emerging market economy responses to global and domestic monetary policy shocks
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.
- Language
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Englisch
- Bibliographic citation
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Series: ADB Economics Working Paper Series ; No. 532
- Classification
-
Wirtschaft
Current Account Adjustment; Short-term Capital Movements
International Policy Coordination and Transmission
- Subject
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divergent responses
global liquidity
monetary transmission
panel factor-augmented VAR
- Event
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Geistige Schöpfung
- (who)
-
Choi, Woon Gyu
Kang, Taesu
Kim, Geun Young
Lee, Byongju
- Event
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Veröffentlichung
- (who)
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Asian Development Bank (ADB)
- (where)
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Manila
- (when)
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2017
- DOI
-
doi:10.22617/WPS179183-2
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Choi, Woon Gyu
- Kang, Taesu
- Kim, Geun Young
- Lee, Byongju
- Asian Development Bank (ADB)
Time of origin
- 2017
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