Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand
AbstractIn this paper, we investigate the spillover effect from US monetary policy to selected ASEAN stock markets by employing Markov-switching models. Based on univariate Markov-switching models, we confirm the existence of two distinct regimes for both US monetary policy and the stock markets. By applying multivariate Markov-switching models, we find that US interest rates have a negative effect on the selected ASEAN stock markets during economic expansion periods. However, this kind of effect disappears during economic crisis periods. Our empirical results indicate that the spillover effect from US monetary policy influences the ASEAN stock markets only during the tranquil period. These results have important implications for the transmission mechanisms of asset price, such as the credit channel, trade channel, and balance sheet channel.
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Bibliographic InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 26 (2014)
Issue (Month): C ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/pacfin
Markov-switching models; Spillover effect; Excess liquidity; Monetary policy;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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