{"title":"The Impact of the US Unconventional Monetary Policy and Its Normalization in the Philippines: A Capital Flow Perspective","authors":"Ivy G. Sabuga, Jacinta Bernadette Rico Shirakawa","doi":"10.1355/ae37-2b","DOIUrl":null,"url":null,"abstract":"Abstract:This study presents an empirical analysis of the impact of the US unconventional monetary policy and its normalization on the dynamics of relatively volatile capital inflows (i.e., portfolio equity, portfolio debt securities, and bank and money market) into the Philippines using monthly data from January 2008 to March 2016. Results are obtained using a structural vector autoregression (SVAR) model, interacting both “push” and “pull” factors of capital inflows into the SVAR system. Overall, results show that the effects of these US monetary policy shocks on the aforementioned volatile capital inflows are minimal when scaled in terms of gross domestic product (GDP). The findings also suggest that, of the three volatile capital inflows, the impact of these shocks is more pronounced on portfolio debt securities, as well as on bank and money market inflows. Meanwhile, the impact on portfolio equity inflows is very limited. Additionally, the persistence of these shocks is seen to last from one to six months.","PeriodicalId":43712,"journal":{"name":"Journal of Southeast Asian Economies","volume":"37 1","pages":"135 - 162"},"PeriodicalIF":0.8000,"publicationDate":"2020-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Southeast Asian Economies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1355/ae37-2b","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract:This study presents an empirical analysis of the impact of the US unconventional monetary policy and its normalization on the dynamics of relatively volatile capital inflows (i.e., portfolio equity, portfolio debt securities, and bank and money market) into the Philippines using monthly data from January 2008 to March 2016. Results are obtained using a structural vector autoregression (SVAR) model, interacting both “push” and “pull” factors of capital inflows into the SVAR system. Overall, results show that the effects of these US monetary policy shocks on the aforementioned volatile capital inflows are minimal when scaled in terms of gross domestic product (GDP). The findings also suggest that, of the three volatile capital inflows, the impact of these shocks is more pronounced on portfolio debt securities, as well as on bank and money market inflows. Meanwhile, the impact on portfolio equity inflows is very limited. Additionally, the persistence of these shocks is seen to last from one to six months.
期刊介绍：
The Journal of Southeast Asian Economies (JSEAE) is a peer-reviewed multi-disciplinary journal focusing on economic issues in Southeast Asia. JSEAE features articles based on original research, research notes, policy notes, review articles and book reviews, and welcomes submissions of conceptual, theoretical and empirical articles preferably with substantive policy discussions. Original research articles and research notes can be country studies or cross-country comparative studies. For quantitative-oriented articles, authors should strive to ensure that their work is accessible to non-specialists. Submitted manuscripts undergo a rigorous peer-review process – two reviewers for original research articles and one reviewer for research notes and policy notes. The journal is published three times a year: April, August and December.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
