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

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

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...

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Main Authors: Gupta, Poonam, Masetti, Oliver, Rosenblatt, David
Format: Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2017
Subjects:
EMERGING ECONOMIES
MONETARY POLICY
ASSET PRICES
SPILLOVERS
FEDERAL RESERVE BOARD
Online Access:http://documents.worldbank.org/curated/en/775321497019227117/Should-emerging-markets-worry-about-U-S-monetary-policy-announcements
http://hdl.handle.net/10986/27300
id okr-10986-27300
recordtype oai_dc
spelling okr-10986-273002021-06-08T14:42:47Z Should Emerging Markets Worry about U.S. Monetary Policy Announcements? Gupta, Poonam Masetti, Oliver Rosenblatt, David EMERGING ECONOMIES MONETARY POLICY ASSET PRICES SPILLOVERS FEDERAL RESERVE BOARD 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. 2017-06-21T18:57:28Z 2017-06-21T18:57:28Z 2017-06 Working Paper http://documents.worldbank.org/curated/en/775321497019227117/Should-emerging-markets-worry-about-U-S-monetary-policy-announcements http://hdl.handle.net/10986/27300 English en_US Policy Research Working Paper;No. 8100 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper United States
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
en_US
topic EMERGING ECONOMIES
MONETARY POLICY
ASSET PRICES
SPILLOVERS
FEDERAL RESERVE BOARD
spellingShingle EMERGING ECONOMIES
MONETARY POLICY
ASSET PRICES
SPILLOVERS
FEDERAL RESERVE BOARD
Gupta, Poonam
Masetti, Oliver
Rosenblatt, David
Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
geographic_facet United States
relation Policy Research Working Paper;No. 8100
description 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.
format Working Paper
author Gupta, Poonam
Masetti, Oliver
Rosenblatt, David
author_facet Gupta, Poonam
Masetti, Oliver
Rosenblatt, David
author_sort Gupta, Poonam
title Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
title_short Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
title_full Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
title_fullStr Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
title_full_unstemmed Should Emerging Markets Worry about U.S. Monetary Policy Announcements?
title_sort should emerging markets worry about u.s. monetary policy announcements?
publisher World Bank, Washington, DC
publishDate 2017
url http://documents.worldbank.org/curated/en/775321497019227117/Should-emerging-markets-worry-about-U-S-monetary-policy-announcements
http://hdl.handle.net/10986/27300
_version_ 1764464145776771072

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