Working Paper

Should Emerging Markets Worry about U.S. Monetary Policy Announcements?

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collection.link.5
https://openknowledge.worldbank.org/handle/10986/9
collection.name.5
Policy Research Working Papers
dc.contributor.author
Gupta, Poonam
dc.contributor.author
Masetti, Oliver
dc.contributor.author
Rosenblatt, David
dc.date.accessioned
2017-06-21T18:57:28Z
dc.date.available
2017-06-21T18:57:28Z
dc.date.issued
2017-06
dc.date.lastModified
2021-06-08T14:42:47Z
dc.description.abstract
This paper analyzes the spillover effects of U.S. monetary policy announcements on emerging market economies since end-2008, the period coinciding with the use of unconventional policy measures. Monetary policy surprises are measured by changes in two-year Treasury yields in short windows of time around the Federal Reserve Board’s policy announcements. The analysis finds that U.S. monetary policy surprises have a significant impact on emerging economies' exchange rates, equity prices, and bond yields. The impact is larger for surprise tightening of policy than for surprise easing. The impact is disproportionately larger for large surprises, implying that emerging markets are relatively insulated from anticipated policy announcements. The spillover effects of policy announcements of other advanced economies, such as the euro area, Japan, and United Kingdom, are found to be much weaker than those of the United States.
en
dc.identifier
http://documents.worldbank.org/curated/en/775321497019227117/Should-emerging-markets-worry-about-U-S-monetary-policy-announcements
dc.identifier.uri
http://hdl.handle.net/10986/27300
dc.language
English
dc.language.iso
en_US
dc.publisher
World Bank, Washington, DC
dc.relation.ispartofseries
Policy Research Working Paper;No. 8100
dc.rights
CC BY 3.0 IGO
dc.rights.holder
World Bank
dc.rights.uri
http://creativecommons.org/licenses/by/3.0/igo
dc.subject
EMERGING ECONOMIES
dc.subject
MONETARY POLICY
dc.subject
ASSET PRICES
dc.subject
SPILLOVERS
dc.subject
FEDERAL RESERVE BOARD
dc.title
Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
en
dc.type
Working Paper
en
okr.crossref.title
Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
okr.date.disclosure
2017-06-09
okr.doctype
Publications & Research
okr.doctype
Publications & Research :: Policy Research Working Paper
okr.docurl
http://documents.worldbank.org/curated/en/775321497019227117/Should-emerging-markets-worry-about-U-S-monetary-policy-announcements
okr.googlescholar.linkpresent
yes
okr.identifier.doi
10.1596/1813-9450-8100
okr.identifier.externaldocumentum
090224b084c6ee74_1_0
okr.identifier.internaldocumentum
27569042
okr.identifier.report
WPS8100
okr.imported
true
okr.language.supported
en
okr.pdfurl
http://documents.worldbank.org/curated/en/775321497019227117/pdf/WPS8100.pdf
en
okr.region.country
United States
okr.statistics.dr
775321497019227117
okr.topic
Finance and Financial Sector Development :: Capital Markets and Capital Flows
okr.topic
Finance and Financial Sector Development :: Currencies and Exchange Rates
okr.topic
Finance and Financial Sector Development :: International Financial Markets
okr.topic
Macroeconomics and Economic Growth :: Fiscal & Monetary Policy
okr.topic
Finance and Financial Sector Development :: Finance and Development
okr.unit
Operations and Strategy Team, Development Economics Vice Presidency

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