IDEAS home Printed from https://ideas.repec.org/a/idn/journl/v19y2017i4p1-26.html
   My bibliography  Save this article

What Protect Emerging Markets From Developed Countries Unconventional Monetary Policy Spillover?

Author

Listed:
  • Eko Sumando

    (Australian National University)

Abstract

This paper investigates the macro-characteristics that reduce the spillover effect of unconventional monetary policy (UMP) from developed countries to the emerging market ones. We use event study method to examine 24 UMP announcements and a panel fixed effects model to examine the characteristics of the emerging markets. The spillover channel considered in this paper is the exchange rate. The results show inconclusiveness of the macroeconomic fundamentals role on emerging markets’ currency resilience. From three main fundamental economic indicators, only inflation was found to significantly and positively contribute to exchange rate depreciation. Deeper financial markets contribute to better resilience. Trade linkages with China provide less vulnerable currency position of the emerging markets while trade linkages with developed countries provide mixed evidence. The macro-prudential policy and the capital flow measures that the emerging markets countries implemented before to the announcements are moderately effective on reducing the spillover effect.

Suggested Citation

  • Eko Sumando, 2017. "What Protect Emerging Markets From Developed Countries Unconventional Monetary Policy Spillover?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 19(4), pages 1-26, April.
    • Handle: RePEc:idn:journl:v:19:y:2017:i:4:p:1-26
    DOI: https://doi.org/10.21098/bemp.v19i4.695
    as

    Download full text from publisher

    File URL: https://www.bmeb-bi.org/index.php/BEMP/article/download/695/611
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.21098/bemp.v19i4.695?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    unconventional monetary policy; emerging markets; international spillover;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:idn:journl:v:19:y:2017:i:4:p:1-26. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lutzardo Tobing or Jimmy Kathon (email available below). General contact details of provider: https://edirc.repec.org/data/bigovid.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.