Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies

Antonio Pacifico ()
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Antonio Pacifico: LUISS Guido Carli University

A chapter in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, 2021, pp 229-265 from Springer

Abstract: Abstract This paper provides new empirical insights in order to give a relevant contribution to the more recent literature on international transmission of shocks among emerging market economies, with a particular emphasis in the most recent recession and postcrisis consolidation. Interdependence, commonality, and heterogeneity in macroeconomic-financial linkages are also identified in order to give new stimulus to the study of international business cycles and policy-making. An extension of a time-varying Structural Panel Bayesian Vector Autoregressive model is developed to deal with model misspecification and unobserved heterogeneity problems when studying multicountry dynamic panels and jointly investigating monetary and fiscal policy effects. The results argue that monetary policy transmission mechanisms and fiscal authority have worked actively among emerging markets but with different actions due to large differences in their financial structure.

Keywords: Structural panel VAR; Bayesian inference; MCMC integrations; Monetary policy; Fiscal implications; Emerging markets (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-54108-8_10

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DOI: 10.1007/978-3-030-54108-8_10

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