Dynamic Effects of U.S. Monetary Policy, Unconventional Tools, and Trade Integration
研究了2020至2023年间美国货币政策对26个新兴市场经济体利率的传染与非对称影响，发现大规模资产购买和10年期国债收益率影响显著，且贸易联系紧密的国家受影响更大。
ABSTRACT The study examines the contagion and asymmetric impact of US monetary policy (USMP) on emerging market economies' (EMEs) domestic interest rates. We apply an Autoregressive Distributed Lag error correction model with structural breaks from 2020 to 2023. This model is applied to 26 EMEs. Our findings reveal a substantial influence of large‐scale asset purchases (a quantitative easing tool) and the 10‐year Treasury yield (a long‐term conventional tool) on EMEs' interest rates across both long‐ and short‐term perspectives. Furthermore, we identify an asymmetric effect, with the impact of USMP varying across EMEs, particularly pronounced in countries with extensive trade connections to the USA. Our results highlight the swift response of EMEs to USMP changes, especially in the short term. The study presents policy recommendations to help EMEs manage the effects of changes in USMP.