Abstract
Abstract
This paper examines monetary policy spillovers from the US and the People’s Republic of China (PRC) to real and financial sectors in advanced and emerging Asian economies over the period 2000 to 2020. Using a structural vector autoregression (SVAR) approach, we find that Asian economies overall are more susceptible to spillovers to GDP, inflation, and the current account emanating from monetary policy shocks in the PRC than to those from the US. This is related to high inter-regional trade integration in Asia and is in line with previous research findings. However, while the prevailing literature has highlighted the dominant role of US monetary policy as a transmitter of shocks to global and Asian financial markets, we find more persistence in the response of advanced Asian interest rates to PRC monetary policy shocks. In addition, emerging Asian economies are found to be more susceptible to shocks emanating from the PRC in respect of equity markets and exchange rates. The rising synchronization of Asian financial markets in relation to the PRC as the financial account in the PRC has gradually opened as well as indirect effects via trade and regional value chains help to rationalize our findings.
Funder
Capital University of Economics and Business
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Reference50 articles.
1. Ahmed S, Correa R, Dias DA, Gornemann N, Hoek J, Jain A, Liu E, Wong A (2019) Global spillovers of a hard landing. International Finance Discussion Paper No. 1260. Board of Governors of the Federal Reserve System, Washington, DC
2. Aizenman J, Binici M, Hutchison MH (2016) The transmission of federal reserve tapering news to emerging financial markets. Int J Cent Bank 12(2):317–356
3. Aizenman J, Chinn MD, Ito H (2017) Balance sheet effects on monetary and financial spillovers: The East Asian Crisis Plus 20. J Int Money Financ 74:258–282
4. Apostolou A, Beirne J (2019) Volatility spillovers of unconventional monetary policy to emerging market economies. Economic Modelling 79(C):118–29
5. Arslanalp S, Liao W, Piao S, Seneviratne D (2016) China’s growing influence on asian financial markets. IMF Working Paper No. 2016/173. Washington, DC: International Monetary Fund
Cited by
3 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献