When the Fed sneezes - Spillovers from U.S. Monetary Policy to Emerging Markets

When the Fed sneezes - Spillovers from U.S. Monetary Policy to Emerging Markets

This paper aims to shed light on the role mean and volatility spillovers of U.S. monetary policy played for asset markets of several emerging market economies in a period from January 2000 to October 2014. We employ multi- variate GARCH models in which we distinguish between a conventional and a...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 30-2017)
1. Verfasser: Meinusch, Annette
Format: Artikel
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2017
Schlagworte:
Wirtschaft
unconventional monetary policy
quantitative easing
monetary policy spillovers
multivariate GARCH
emerging markets
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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