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

Eko Sumando ()
Additional contact information
Eko Sumando: Australian National University

Bulletin of Monetary Economics and Banking, 2017, vol. 19, issue 4, 443-468

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.

Keywords: unconventional monetary policy; emerging markets; international spillover (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bulletin.bmeb-bi.org/cgi/viewcontent.cgi?article=1150&context=bmeb (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:19:y:2017:i:4c:p:443-468

DOI: 10.21098/bemp.v19i4.695

Access Statistics for this article

Bulletin of Monetary Economics and Banking is currently edited by Paresh Narayan

More articles in Bulletin of Monetary Economics and Banking from Bank Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Lutzardo Tobing ( this e-mail address is bad, please contact ) and Jimmy Kathon ().