International Monetary Policy Transmission

20 Pages Posted: 7 Oct 2014

See all articles by Előd Takáts

Előd Takáts

Bank for International Settlements (BIS)

Abraham Vela

Bank for International Settlements (BIS)

Date Written: August 2014

Abstract

In this paper we investigate how monetary policy in advanced economies affects financial conditions in emerging market economies (EMEs). We find evidence for the working of several international transmission channels. In particular, advanced economy monetary policy, as proxied by US monetary conditions, seems to drive EME policy rates beyond what domestic factors would suggest. Furthermore, US long-term interest rates also affect EME long-term interest rates significantly. Finally, our results suggest that while the impact of US monetary policy has weakened, the co-movement of long-term rates became stronger after the financial crisis in 2008.

Full publication: The Transmission of Unconventional Monetary Policy to the Emerging Markets

Keywords: Monetary policy, international spillovers, Taylor rule

JEL Classification: E52, E58, F33

Suggested Citation

Takáts, Előd and Vela, Abraham, International Monetary Policy Transmission (August 2014). BIS Paper No. 78b, Available at SSRN: https://ssrn.com/abstract=2498133

Előd Takáts (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Abraham Vela

Bank for International Settlements (BIS)

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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