{
  "title": "Spillovers from United States Monetary Policy on Emerging Markets: Different This Time?",
  "publication": "IMF Working Papers, December 24, 2014",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/spillovers-from-united-states-monetary-policy-on-emerging-markets-different-this-time-42563",
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  "summary": "The impact of monetary policy in large advanced countries on emerging market economies—dubbed spillovers—is hotly debated in global and national policy circles. When the U.S.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Authors: Jiaqian Chen, Tommaso Mancini-Griffoli, Ratna Sahay\n- Date: December 24, 2014\n- Core finding: When the U.S. resorted to unconventional monetary policy, spillovers on asset prices and capital flows were significant, though remained smaller in countries with better fundamentals.\n- Mechanism identified: The traditional signaling channel of monetary policy continued to play the leading role in transmitting shocks, relative to other channels, affecting longer-term bond yields.\n- Key interpretation: Larger spillovers stem more from structural factors, such as the use of new instruments (asset purchases), rather than changes in monetary policy shocks (in size, sign or impact on stance).\n- Methodological note: Results are obtained by developing a new methodology to extract, separate, and interpret U.S. monetary policy shocks."
    },
    {
      "heading": "Main findings and evidence",
      "content": "- Spillovers to asset prices and capital flows were significant during episodes of U.S. unconventional monetary policy.\n- Countries with better fundamentals experienced smaller spillovers.\n- The size, sign, and impact on monetary policy stance of monetary policy shocks did not materially change to explain larger spillovers.\n- The signaling channel remained the dominant transmission mechanism, particularly through effects on longer-term bond yields.\n- Structural factors, notably the introduction and use of new instruments such as asset purchases, account for larger observed spillovers."
    },
    {
      "heading": "Methodology",
      "content": "- The paper develops a new methodology to:\n  - Extract U.S. monetary policy shocks.\n  - Separate different components of those shocks.\n  - Interpret the implications of those shocks for spillovers to emerging markets."
    },
    {
      "heading": "Subject classification and keywords",
      "content": "- Subject: Asset prices, Emerging and frontier financial markets, Financial markets, Financial sector policy and analysis, Financial services, Monetary policy, Prices, Spillovers, Unconventional monetary policies, Yield curve\n- Keywords: asset price, Asset prices, bond markets, capital flows, Emerging and frontier financial markets, emerging markets, equity markets, exchange rates, financial crisis, Global, market factor, market surprise, monetary policy announcement, monetary policy announcements, monetary policy shock, monetary policy stance, monetary policy surprise, spillovers, unconventional monetary policies, WP, Yield curve\n\n---\n\n Content in this bundle\n\n- PDP-Working Paper\n  - PDP-Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - PDP-Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/spillovers-from-united-states-monetary-policy-on-emerging-markets-different-this-time-42563"
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    "Authors: Jiaqian Chen, Tommaso Mancini-Griffoli, Ratna Sahay",
    "Published: December 24, 2014",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781498380423.001",
    "Authors: Jiaqian Chen, Tommaso Mancini-Griffoli, Ratna Sahay",
    "Date: December 24, 2014",
    "Core finding: When the U.S. resorted to unconventional monetary policy, spillovers on asset prices and capital flows were significant, though remained smaller in countries with better fundamentals.",
    "Mechanism identified: The traditional signaling channel of monetary policy continued to play the leading role in transmitting shocks, relative to other channels, affecting longer-term bond yields.",
    "Key interpretation: Larger spillovers stem more from structural factors, such as the use of new instruments (asset purchases), rather than changes in monetary policy shocks (in size, sign or impact on stance).",
    "Methodological note: Results are obtained by developing a new methodology to extract, separate, and interpret U.S. monetary policy shocks.",
    "Spillovers to asset prices and capital flows were significant during episodes of U.S. unconventional monetary policy.",
    "Countries with better fundamentals experienced smaller spillovers.",
    "The size, sign, and impact on monetary policy stance of monetary policy shocks did not materially change to explain larger spillovers.",
    "The signaling channel remained the dominant transmission mechanism, particularly through effects on longer-term bond yields.",
    "Structural factors, notably the introduction and use of new instruments such as asset purchases, account for larger observed spillovers.",
    "The paper develops a new methodology to:",
    "Subject: Asset prices, Emerging and frontier financial markets, Financial markets, Financial sector policy and analysis, Financial services, Monetary policy, Prices, Spillovers, Unconventional monetary policies, Yield curve",
    "Keywords: asset price, Asset prices, bond markets, capital flows, Emerging and frontier financial markets, emerging markets, equity markets, exchange rates, financial crisis, Global, market factor, market surprise, monetary policy announcement, monetary policy announcements, monetary policy shock, monetary policy stance, monetary policy surprise, spillovers, unconventional monetary policies, WP, Yield curve",
    "**PDP-Working Paper**"
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