 Monetary Independence in Emerging Markets: Does the Exchange Rate Regime Make a Difference?Thomas Philippon, Jeromin Zettelmeyer and Eduardo Borensztein No 2001/001, IMF Working Papers from International Monetary Fund Abstract: This paper compares the impact of shocks to U.S. interest rates and emerging market bond spreads on domestic interest rates and exchange rates across several emerging market economies with different exchange rate regimes. Consistent with conventional priors, the results indicate that interest rates in Hong Kong react much more to U.S. interest rate shocks and shocks to international risk premia than interest rates in Singapore. The results are less clearcut in the comparison of Argentina and Mexico: While interest rates (and the exchange rate) in Mexico seem to react less to U.S. interest rate shocks, they react about the same to bond spread shocks, in addition to a significant impact on the exchange rate. Keywords: WP; basis point; interest rate shock; domestic interest rates; federal funds futures; exchange rate regime; Monetary policy; interest rates; risk premium; monetary policy shock; interest rate response; Exchange rates; Emerging and frontier financial markets; Exchange rate arrangements; Floating exchange rates; Market risk; Asia and Pacific; Australia and New Zealand; Global (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2001/001 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC. |
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