EconPapers    
Economics at your fingertips  
 

Spillovers of U.S. monetary policy uncertainty on inflation targeting emerging economies

Nahiyan Faisal Azad () and Apostolos Serletis

Emerging Markets Review, 2022, vol. 51, issue PA

Abstract: We investigate for spillovers from monetary policy uncertainty in the United States to the policy rates of seven inflation targeting emerging economies — Brazil, Chile, Colombia, Indonesia, Mexico, Poland, and South Africa. We use monthly data, with the start of the sample period being dictated by the start of the inflation targeting regime, and a multivariate GARCH-in-Mean vector autoregression (VAR), controlling for the traditional Taylor rule type variables. We also use a multivariate structural VAR and a different measure of U.S. monetary policy uncertainty, achieving identification by a combination of short-run and long-run restrictions. Our evidence shows that U.S. monetary policy uncertainty, irrespective of how it is measured, has negative effects on the macroeconomic and financial fundamentals of emerging economies.

Keywords: Emerging markets; Monetary policy uncertainty; GARCH-in-Mean VAR (search for similar items in EconPapers)
JEL-codes: C32 E43 E52 E58 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014121000832
Full text for ScienceDirect subscribers only

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:eee:ememar:v:51:y:2022:i:pa:s1566014121000832

DOI: 10.1016/j.ememar.2021.100875

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-02-12
Handle: RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000832