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Comments on "The global impact of risk-off shocks"

In: Asia-Pacific fixed income markets: evolving structure, participation and pricing

Author

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  • Piti Disyatat

Abstract

In this paper, Caballero and Kamber study how monetary policy frameworks influence the impact of risk-off shocks for a broad set of advanced market economies (AEs) and emerging market economies (EMEs). It is a very interesting and thought provoking paper. The key propositions of the paper are: (i) risk-off shocks have become more benign post-Great Financial Crisis for EMEs; (ii) this is attributable to unconventional US policies (so-called policy-put frameworks); and (iii) stronger country fundamentals imply more resilience to risk-off shocks. The overall conclusion is that policy easing in the United States, particularly unconventional ones, has been good for all. This is a good story. But is it too good to be true?

Suggested Citation

  • Piti Disyatat, 2019. "Comments on "The global impact of risk-off shocks"," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 25-28, Bank for International Settlements.
    • Handle: RePEc:bis:bisbpc:102-04
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    File URL: https://www.bis.org/publ/bppdf/bispap102_b_rh.pdf
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    References listed on IDEAS

    as
    1. Tobias Adrian & Fernando M. Duarte, 2016. "Financial vulnerability and monetary policy," Staff Reports 804, Federal Reserve Bank of New York.
    2. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    3. Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann, 2017. "Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(3), pages 55-89, September.
    4. Mikael Juselius & Claudio Borio & Piti Disyatat & Mathias Drehmann, 2017. "Monetary Policy, the Financial Cycle, and Ultra-Low Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(3), pages 55-89, September.
    5. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
    6. Phurichai Rungcharoenkitkul & Claudio Borio & Piti Disyatat Author-X-Name_First: Piti, 2019. "Monetary policy hysteresis and the financial cycle," BIS Working Papers 817, Bank for International Settlements.
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