Pub Date : 2019-06-20DOI: 10.1093/oso/9780198838104.003.0011
Hongyi Chen, Andrew Tsang
This chapter uses the factor-augmented vector autoregression framework to study the impact on the Hong Kong economy of the diverging monetary policies by the Fed, the European Central Bank (ECB), and the Bank of Japan (BoJ), as well as the slowdown of the Mainland economy. The empirical results show that shocks in US monetary policy rate mainly affect interest rate-sensitive sectors in Hong Kong and that monetary easing from the ECB and the BoJ somewhat offsets the impact of tightening of the Fed. Real variables such as real GDP growth and the unemployment rate are more sensitive to the economic slowdown in Mainland China. However, Hong Kong’s financial stability, particularly with regard to loan quality, banks’ capital and liquidity, is well maintained by macroprudential policies, suggesting that Hong Kong’s financial system is resilient to external shocks.
{"title":"The Impact of US Monetary Policy and Other External Shocks on the Hong Kong Economy","authors":"Hongyi Chen, Andrew Tsang","doi":"10.1093/oso/9780198838104.003.0011","DOIUrl":"https://doi.org/10.1093/oso/9780198838104.003.0011","url":null,"abstract":"This chapter uses the factor-augmented vector autoregression framework to study the impact on the Hong Kong economy of the diverging monetary policies by the Fed, the European Central Bank (ECB), and the Bank of Japan (BoJ), as well as the slowdown of the Mainland economy. The empirical results show that shocks in US monetary policy rate mainly affect interest rate-sensitive sectors in Hong Kong and that monetary easing from the ECB and the BoJ somewhat offsets the impact of tightening of the Fed. Real variables such as real GDP growth and the unemployment rate are more sensitive to the economic slowdown in Mainland China. However, Hong Kong’s financial stability, particularly with regard to loan quality, banks’ capital and liquidity, is well maintained by macroprudential policies, suggesting that Hong Kong’s financial system is resilient to external shocks.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116493440","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/OSO/9780198838104.003.0013
G. Schnabl
The chapter explores business cycles and growth dynamics in emerging East Asia within an ultra-low interest rate environment from the perspective of the monetary overinvestment theories of Mises and Hayek. It argues that, given a low interest rate environment in the large industrialized countries, the likelihood of overinvestment and therefore a crisis in emerging East Asia has increased independently from the exchange rate regime. Overinvestment can take the form of unsustainable booms on stock and real estate markets (as in Southeast Asia prior to the Asian crisis) or the misallocation of funds due to subsidized state-directed capital allocation (as is currently occurring in the People’s Republic of China). If further credit expansion counteracts a crisis triggered by a preceding overinvestment boom, it paralyses growth in the long term, as Japan experienced.
{"title":"Ultra-Low Interest Rates and Growth in Emerging East Asia from a Hayekian Perspective","authors":"G. Schnabl","doi":"10.1093/OSO/9780198838104.003.0013","DOIUrl":"https://doi.org/10.1093/OSO/9780198838104.003.0013","url":null,"abstract":"The chapter explores business cycles and growth dynamics in emerging East Asia within an ultra-low interest rate environment from the perspective of the monetary overinvestment theories of Mises and Hayek. It argues that, given a low interest rate environment in the large industrialized countries, the likelihood of overinvestment and therefore a crisis in emerging East Asia has increased independently from the exchange rate regime. Overinvestment can take the form of unsustainable booms on stock and real estate markets (as in Southeast Asia prior to the Asian crisis) or the misallocation of funds due to subsidized state-directed capital allocation (as is currently occurring in the People’s Republic of China). If further credit expansion counteracts a crisis triggered by a preceding overinvestment boom, it paralyses growth in the long term, as Japan experienced.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127776005","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/oso/9780198838104.003.0002
A. Ghosh, M. Qureshi
This chapter examines whether the source or the type of inflow of the capital inflow to emerging economies makes any difference to the consequences of the capital flow. Our results, based on a sample of 53 emerging markets over 1980–2013, show that when it comes to the source of the inflow, the macroeconomic and financial-stability consequences of flows driven by residents (asset flows) and nonresidents (liability flows) are broadly similar in economic terms. Formal statistical tests, however, suggest that liability flows are more prone to causing economic overheating and domestic credit expansion than asset flows. On the types of inflows, we find that compared to direct investment, portfolio debt and other investment flows are associated with larger macroeconomic imbalances and financial vulnerabilities. We conclude that policy should try to mitigate the untoward consequences of inflows, and shift their composition from risky to safer forms of liabilities.
{"title":"Capital Flow Surges and Consequences","authors":"A. Ghosh, M. Qureshi","doi":"10.1093/oso/9780198838104.003.0002","DOIUrl":"https://doi.org/10.1093/oso/9780198838104.003.0002","url":null,"abstract":"This chapter examines whether the source or the type of inflow of the capital inflow to emerging economies makes any difference to the consequences of the capital flow. Our results, based on a sample of 53 emerging markets over 1980–2013, show that when it comes to the source of the inflow, the macroeconomic and financial-stability consequences of flows driven by residents (asset flows) and nonresidents (liability flows) are broadly similar in economic terms. Formal statistical tests, however, suggest that liability flows are more prone to causing economic overheating and domestic credit expansion than asset flows. On the types of inflows, we find that compared to direct investment, portfolio debt and other investment flows are associated with larger macroeconomic imbalances and financial vulnerabilities. We conclude that policy should try to mitigate the untoward consequences of inflows, and shift their composition from risky to safer forms of liabilities.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130465468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/oso/9780198838104.003.0010
Berry A. Harahap, Pakasa Bary, Linda N. Panjaitan, Redianto Satyanugroho
This chapter examines the impact of certain external shocks originating from the United States (US) and People’s Republic of China (PRC) on Indonesia as a small open economy. The spillover effects of tapering off, an interest rate hike, exchange rate devaluation, and real gross domestic product (GDP) are analysed. Two versions of the global vector autoregression model are employed, which covers 33 countries and considers both financial and trade relations among countries. The results suggest that the main risk for Indonesia’s real GDP is a shock to the PRC’s real GDP, while a US interest rate hike is the greatest risk to Indonesia’s exchange rate depreciation in the short term, especially compared to the US tapering off. Moreover, the dominant transmission channel of US monetary tightening is through finance, dampening economic growth in small open economies.
{"title":"Spillovers of United States and People’s Republic of China Shocks on Small Open Economies","authors":"Berry A. Harahap, Pakasa Bary, Linda N. Panjaitan, Redianto Satyanugroho","doi":"10.1093/oso/9780198838104.003.0010","DOIUrl":"https://doi.org/10.1093/oso/9780198838104.003.0010","url":null,"abstract":"This chapter examines the impact of certain external shocks originating from the United States (US) and People’s Republic of China (PRC) on Indonesia as a small open economy. The spillover effects of tapering off, an interest rate hike, exchange rate devaluation, and real gross domestic product (GDP) are analysed. Two versions of the global vector autoregression model are employed, which covers 33 countries and considers both financial and trade relations among countries. The results suggest that the main risk for Indonesia’s real GDP is a shock to the PRC’s real GDP, while a US interest rate hike is the greatest risk to Indonesia’s exchange rate depreciation in the short term, especially compared to the US tapering off. Moreover, the dominant transmission channel of US monetary tightening is through finance, dampening economic growth in small open economies.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"82 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115050186","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/OSO/9780198838104.003.0012
A. Belke, Ulrich Volz
This chapter explores the impact of advanced countries’ quantitative easing on emerging market economies (EMEs) and how macroprudential policy and good governance play a role in preventing potential financial vulnerabilities. We use confidential locational bank statistics data from the Bank for International Settlements to examine whether quantitative easing has caused an appreciation of EMEs’ currencies and how it has done so, and whether this has in turn boosted foreign-currency borrowing, thus making EMEs vulnerable to balance sheet and maturity mismatch problems. While focusing our analysis on East Asian economies, we compare them with Latin American economies, which were also major recipients of quantitative easing capital inflows. We find that government effectiveness plays an important role in curbing excessive borrowing when the exchange rate is overvalued.
本章探讨了发达国家量化宽松政策对新兴市场经济体的影响，以及宏观审慎政策和良好治理如何在预防潜在金融脆弱性方面发挥作用。我们使用国际清算银行(bank for International Settlements)的保密地区银行统计数据来研究量化宽松是否导致了新兴市场货币的升值，以及它是如何做到的，以及这是否反过来促进了外币借款，从而使新兴市场容易受到资产负债表和期限错配问题的影响。在重点分析东亚经济体的同时，我们将其与拉丁美洲经济体进行了比较，后者也是量化宽松资本流入的主要接受者。研究发现，当汇率过高时，政府有效性对抑制过度借贷起着重要作用。
{"title":"The Role of Institutions and Macroprudential Policy in Managing Spillovers from Quantitative Easing Policies","authors":"A. Belke, Ulrich Volz","doi":"10.1093/OSO/9780198838104.003.0012","DOIUrl":"https://doi.org/10.1093/OSO/9780198838104.003.0012","url":null,"abstract":"This chapter explores the impact of advanced countries’ quantitative easing on emerging market economies (EMEs) and how macroprudential policy and good governance play a role in preventing potential financial vulnerabilities. We use confidential locational bank statistics data from the Bank for International Settlements to examine whether quantitative easing has caused an appreciation of EMEs’ currencies and how it has done so, and whether this has in turn boosted foreign-currency borrowing, thus making EMEs vulnerable to balance sheet and maturity mismatch problems. While focusing our analysis on East Asian economies, we compare them with Latin American economies, which were also major recipients of quantitative easing capital inflows. We find that government effectiveness plays an important role in curbing excessive borrowing when the exchange rate is overvalued.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"435 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123377118","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/OSO/9780198838104.003.0001
P. Chantapacdepong, Matthias Helble, N. Yoshino
The introduction provides an overview of the book and summarizes its objectives. The book is divided into four parts. The first part provides an overview of the empirics of shock spillovers through trade and financial channels in general. The second part examines the mechanism driving financial spillovers, both price-oriented and quantity-oriented. The third part presents case studies of the implications of spillovers on real economies. The final part outlines implications for monetary policy and macroprudential policy. The objective of this book is to explain how macroeconomic shocks stemming from the global financial crisis and recent unconventional monetary policies in developed economies have affected macroeconomic and financial stability in emerging markets, with a particular focus on Asia. In particular, the book studies the spillover effects of macroeconomic shocks on financial markets and flows in emerging economies and the impact of recent macroeconomic shocks on real economies in emerging markets.
{"title":"An Overview of the Issues and the Book","authors":"P. Chantapacdepong, Matthias Helble, N. Yoshino","doi":"10.1093/OSO/9780198838104.003.0001","DOIUrl":"https://doi.org/10.1093/OSO/9780198838104.003.0001","url":null,"abstract":"The introduction provides an overview of the book and summarizes its objectives. The book is divided into four parts. The first part provides an overview of the empirics of shock spillovers through trade and financial channels in general. The second part examines the mechanism driving financial spillovers, both price-oriented and quantity-oriented. The third part presents case studies of the implications of spillovers on real economies. The final part outlines implications for monetary policy and macroprudential policy. The objective of this book is to explain how macroeconomic shocks stemming from the global financial crisis and recent unconventional monetary policies in developed economies have affected macroeconomic and financial stability in emerging markets, with a particular focus on Asia. In particular, the book studies the spillover effects of macroeconomic shocks on financial markets and flows in emerging economies and the impact of recent macroeconomic shocks on real economies in emerging markets.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114425808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/oso/9780198838104.003.0004
Shin-ichi Fukuda
This chapter explores the spillover effects of Japan’s quantitative and qualitative easing (QQE) on East Asian economies. Under the new monetary policy regime, the Japanese yen depreciated substantially, raising concerns that it would have a regional beggar-thy-neighbour effect. It is thus important to see what effects the QQE had on neighbouring economies. Our empirical investigation of East Asian stock markets finds that they first reacted to the yen’s depreciation negatively, yet came to respond positively as the QQE progressed, implying that the QQE had a much smaller beggar-thy-neighbour effect than was originally feared. We show that the QQE benefited East Asian economies because the positive spillover effect of Japan’s stock market recovery dominated the beggar-thy-neighbour effect in the region.
{"title":"Spillover Effects of Japan’s Quantitative and Qualitative Easing on East Asian Economies","authors":"Shin-ichi Fukuda","doi":"10.1093/oso/9780198838104.003.0004","DOIUrl":"https://doi.org/10.1093/oso/9780198838104.003.0004","url":null,"abstract":"This chapter explores the spillover effects of Japan’s quantitative and qualitative easing (QQE) on East Asian economies. Under the new monetary policy regime, the Japanese yen depreciated substantially, raising concerns that it would have a regional beggar-thy-neighbour effect. It is thus important to see what effects the QQE had on neighbouring economies. Our empirical investigation of East Asian stock markets finds that they first reacted to the yen’s depreciation negatively, yet came to respond positively as the QQE progressed, implying that the QQE had a much smaller beggar-thy-neighbour effect than was originally feared. We show that the QQE benefited East Asian economies because the positive spillover effect of Japan’s stock market recovery dominated the beggar-thy-neighbour effect in the region.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126072939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/oso/9780198838104.003.0003
Peter Tillmann
It is well known that a tightening or easing of the United States’ monetary policy affects financial markets in emerging economies. This chapter argues that uncertainty about future monetary policy is a separate transmission channel. We focus on the taper tantrum episode in 2013, a period with an elevated uncertainty about monetary policy, and use a data set that contains 90,000 Twitter messages on Federal Reserve tapering. Based on this data set, we construct a new index about monetary policy uncertainty using a list of uncertainty keywords. An advantage of this index is that it reflects uncertainty about a specific policy decision. An estimated vector autoregression (VAR) shows that uncertainty shocks lead to a fall in asset prices and a depreciation of local currencies. We also discuss the policy implications of this uncertainty channel of monetary policy transmission.
{"title":"Uncertainty about Federal Reserve Policy and its Transmission to Emerging Economies","authors":"Peter Tillmann","doi":"10.1093/oso/9780198838104.003.0003","DOIUrl":"https://doi.org/10.1093/oso/9780198838104.003.0003","url":null,"abstract":"It is well known that a tightening or easing of the United States’ monetary policy affects financial markets in emerging economies. This chapter argues that uncertainty about future monetary policy is a separate transmission channel. We focus on the taper tantrum episode in 2013, a period with an elevated uncertainty about monetary policy, and use a data set that contains 90,000 Twitter messages on Federal Reserve tapering. Based on this data set, we construct a new index about monetary policy uncertainty using a list of uncertainty keywords. An advantage of this index is that it reflects uncertainty about a specific policy decision. An estimated vector autoregression (VAR) shows that uncertainty shocks lead to a fall in asset prices and a depreciation of local currencies. We also discuss the policy implications of this uncertainty channel of monetary policy transmission.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115425922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/oso/9780198838104.003.0009
M. T. Punzi, P. Chantapacdepong
The chapter assesses the evolution of spillover effects of unconventional monetary policies (UMPs) and their macroeconomic impact on Asia and the Pacific region. It develops a Panel Vector Auto Regression model for a period covering data from first quarter 2000 until first quarter 2015. It finds 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. 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 Asia and the Pacific region putting pressure on asset prices, leading to financial vulnerability.
{"title":"Spillover Effects of Unconventional Monetary Policy on Asia and the Pacific","authors":"M. T. Punzi, P. Chantapacdepong","doi":"10.1093/oso/9780198838104.003.0009","DOIUrl":"https://doi.org/10.1093/oso/9780198838104.003.0009","url":null,"abstract":"The chapter assesses the evolution of spillover effects of unconventional monetary policies (UMPs) and their macroeconomic impact on Asia and the Pacific region. It develops a Panel Vector Auto Regression model for a period covering data from first quarter 2000 until first quarter 2015. It finds 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. 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 Asia and the Pacific region putting pressure on asset prices, leading to financial vulnerability.","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"227 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127086737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-06-20DOI: 10.1093/OSO/9780198838104.003.0008
Qianying Chen, Andrew J. Filardo, D. He, Feng Zhu
This is a chapter of the domestic impact as well as cross-border spillovers of US monetary policy at the zero lower bound (ZLB) to advanced and emerging economies. We estimate the empirical relevance of the various channels of international policy transmission with a global vector error correction macroeconometric model. To address the challenge of measuring the stance of monetary policy at the ZLB, we proxy it with a shadow federal funds rate, which captures the impact of central bank balance sheet policies. We find evidence that US monetary policy was effective in stimulating the US economy. For many of the other economies, the spillovers from the quantitative easing had sizeable and persistent impacts on output growth, inflation, and equity returns. The responses in the emerging economies were rather diverse. In terms of exchange rates, a number of emerging economy currencies faced strong appreciation pressures (e.g. Malaysian ringgit and Korean won).
{"title":"Domestic and Cross-border Impact of US Monetary Policy at the Zero Lower Bound","authors":"Qianying Chen, Andrew J. Filardo, D. He, Feng Zhu","doi":"10.1093/OSO/9780198838104.003.0008","DOIUrl":"https://doi.org/10.1093/OSO/9780198838104.003.0008","url":null,"abstract":"This is a chapter of the domestic impact as well as cross-border spillovers of US monetary policy at the zero lower bound (ZLB) to advanced and emerging economies. We estimate the empirical relevance of the various channels of international policy transmission with a global vector error correction macroeconometric model. To address the challenge of measuring the stance of monetary policy at the ZLB, we proxy it with a shadow federal funds rate, which captures the impact of central bank balance sheet policies. We find evidence that US monetary policy was effective in stimulating the US economy. For many of the other economies, the spillovers from the quantitative easing had sizeable and persistent impacts on output growth, inflation, and equity returns. The responses in the emerging economies were rather diverse. In terms of exchange rates, a number of emerging economy currencies faced strong appreciation pressures (e.g. Malaysian ringgit and Korean won).","PeriodicalId":309479,"journal":{"name":"Macroeconomic Shocks and Unconventional Monetary Policy","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130887645","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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