The Impact of US Monetary Policy and Other External Shocks on the Hong Kong Economy: A Factor-Augmented VAR Approach

2016 ◽  
Author(s):  
Hongyi Chen
Keyword(s):  
Monetary Policy ◽  
Hong Kong ◽  
External Shocks ◽  
The Impact ◽  
Us Monetary Policy

The Impact of US Monetary Policy and Other External Shocks on the Hong Kong Economy

2019 ◽  
pp. 239-260
Author(s):  
Hongyi Chen ◽  
Andrew Tsang
Keyword(s):  
Monetary Policy ◽  
Hong Kong ◽  
Financial Stability ◽  
Mainland China ◽  
External Shocks ◽  
Monetary Policies ◽  
Macroprudential Policies ◽  
Loan Quality ◽  
The Impact ◽  
Us Monetary Policy

This chapter uses the factor-augmented vector autoregression framework to study the impact on the Hong Kong economy of the diverging monetary policies by the Fed, the European Central Bank (ECB), and the Bank of Japan (BoJ), as well as the slowdown of the Mainland economy. The empirical results show that shocks in US monetary policy rate mainly affect interest rate-sensitive sectors in Hong Kong and that monetary easing from the ECB and the BoJ somewhat offsets the impact of tightening of the Fed. Real variables such as real GDP growth and the unemployment rate are more sensitive to the economic slowdown in Mainland China. However, Hong Kong’s financial stability, particularly with regard to loan quality, banks’ capital and liquidity, is well maintained by macroprudential policies, suggesting that Hong Kong’s financial system is resilient to external shocks.

The impact of US monetary policy uncertainties on oil and gas return volatility in the futures and spot markets

2020 ◽  
Vol 191 ◽  
pp. 107232
Author(s):  
Seyedeh Fatemeh Razmi ◽  
Mehdi Behname ◽  
Bahareh Ramezanian Bajgiran ◽  
Seyed Mohammad Javad Razmi
Keyword(s):  
Monetary Policy ◽  
Oil And Gas ◽  
Spot Markets ◽  
Return Volatility ◽  
The Impact ◽  
Us Monetary Policy

scholarly journals External effects of US monetary policy

2018 ◽  
Vol 11 (2) ◽  
pp. 82-99
Author(s):  
M. Yu. GOLOVNIN
Keyword(s):  
Monetary Policy ◽  
Emerging Markets ◽  
Interest Rates ◽  
Capital Flows ◽  
Treasury Bills ◽  
The Us ◽  
National Economies ◽  
The Impact ◽  
Us Monetary Policy

The article focuses on the changes in US monetary policy since the  beginning of the 21st century and reveals the impact of this policy  on the national economies of other countries, especially emerging markets. The US monetary policy influenced the emerging  markets both through the real and financial channels. Through the  latter, the main impact was on the Treasury bills rates and on the  exchange rates. At the same time, the influence on different  countries varied in different periods. For example, interest rates in  Thailand, Mexico and Pakistan before the global economic and  financial crisis in general followed the cycle of US monetary policy.  The “quantitative easing” policy, the statements and the follow-up  actions to abolish it, have influenced cross-border capital flows to  emerging markets. A number of countries, including Russia,  experienced the impact of US monetary policy through the dynamics  of oil prices. Emerging markets face restrictions on their monetary  policy from the US monetary policy, but in practice they seek to  circumvent them through exchange rate regulation, restrictions on  crossborder capital flows and the pursuit of an independent monetary policy, not following the  cycles of interest rate changes in the US.

scholarly journals Respon Return Pasar Modal Indonesia terhadap Kebijakan Moneter Domestik dan Asing

2018 ◽  
Vol 7 (1) ◽  
pp. 1-20
Author(s):  
Aulia Yulianti Wulandari ◽  
Noer Azam Achsani ◽  
Lukytawati Anggraeni
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Spillover Effects ◽  
Jel Classification ◽  
External Shocks ◽  
Monetary Policies ◽  
Market Participants ◽  
Foreign Policies ◽  
Asean Countries ◽  
The Impact

Understanding the impact of external shocks on the stock market return and volatility is crucial for market participants as volatility is synonymous with risk. This paper provides comprehensive evidence on the spillover effects of the change of monetary policies from inside country and foreign origins on Indonesia stock market in the period of the time from November 2, 2012 to May 15, 2017. Used symmetric (IGARCH) and asymmetric (EGARCH and APARCH) GARCH model analysis to evaluate the impact of surprise and anticipated changes of monetary policies from inside country and foreign policies (from another ASEAN countries and leading economies, in this paper are United States, Europe, and United Kingdom). Surprise change of monetary policy is proxied by one day change in 3 months interbank offered rate, while anticipated change of monetary policy is proxied by one day change in target interest rate or policy rate. The result shows that information of the monetary policy news and Indonesia stock return is asymmetric. Indonesia stock market is only affected by foreign monetary policies. Keywords: ASEAN stock market, GARCH, Monetary policy JEL classification: C01, C50, E50

scholarly journals Respon Return Pasar Modal Indonesia terhadap Kebijakan Moneter Domestik dan Asing

2018 ◽  
Vol 7 (1) ◽  
pp. 1-20
Author(s):  
Aulia Yulianti Wulandari ◽  
Noer Azam Achsani ◽  
Lukytawati Anggraeni
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Spillover Effects ◽  
Jel Classification ◽  
External Shocks ◽  
Monetary Policies ◽  
Market Participants ◽  
Foreign Policies ◽  
Asean Countries ◽  
The Impact

Understanding the impact of external shocks on the stock market return and volatility is crucial for market participants as volatility is synonymous with risk. This paper provides comprehensive evidence on the spillover effects of the change of monetary policies from inside country and foreign origins on Indonesia stock market in the period of the time from November 2, 2012 to May 15, 2017. Used symmetric (IGARCH) and asymmetric (EGARCH and APARCH) GARCH model analysis to evaluate the impact of surprise and anticipated changes of monetary policies from inside country and foreign policies (from another ASEAN countries and leading economies, in this paper are United States, Europe, and United Kingdom). Surprise change of monetary policy is proxied by one day change in 3 months interbank offered rate, while anticipated change of monetary policy is proxied by one day change in target interest rate or policy rate. The result shows that information of the monetary policy news and Indonesia stock return is asymmetric. Indonesia stock market is only affected by foreign monetary policies. Keywords: ASEAN stock market, GARCH, Monetary policy JEL classification: C01, C50, E50

Spillover effects of the US monetary policy on the Indian trilemma

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Harpreet Singh Grewal ◽  
Pushpa Trivedi
Keyword(s):  
Monetary Policy ◽  
Event Study ◽  
Spillover Effects ◽  
Subject Area ◽  
Open Market ◽  
Content Type ◽  
Study Approach ◽  
The Us ◽  
The Impact ◽  
Us Monetary Policy

PurposeThe purpose of this paper is to investigate the impact of the US unconventional monetary policy surprises on the management of trilemma in India.Design/methodology/approachThis paper uses the event study approach along with OLS and MANOVA to examine the impact.FindingsThe results validate the existence of trilemma in India for the period from October 2008 to December 2017. The results also show that monetary policy independence still exists in India in the wake of greater spillover effects during the Federal Open Market Committee announcement days. The spillover effects on USD-INR exchange rates and capital flows are found to be statistically significant. The MANOVA results show that the trilemma in India is influenced by around 20% by the changes in the US monetary policy.Originality/valueThe above approach of event study combined with MANOVA in this subject area has not been used before to the best of the authors’ knowledge. Further, there are only a few studies that exist on the spillover effects of the US monetary policy actions on the management of trilemma in India.

scholarly journals The impact of external factors on the monetary stability in Jordan for the period 1990–2015

2019 ◽  
Vol 14 (1) ◽  
pp. 29-41
Author(s):  
Abdul Nafea Al-Zararee ◽  
Atif Batarseh
Keyword(s):  
Monetary Policy ◽  
Public Debt ◽  
Ordinary Least Squares ◽  
Vital Role ◽  
External Factors ◽  
External Shocks ◽  
Monetary Stability ◽  
Inflation Rates ◽  
The Impact

This study aimed to examine the impact of external factors (external grants and aid, external public debt, remittances of Jordanians labor abroad and external shocks) on the efficiency of the monetary policy, which aims at achieving monetary stability through influencing inflation rates in Jordan during the period 1990–2015, by using standard regression equation estimated by the ordinary least squares (OLS). The findings of the study showed a statistically significant impact at 1% of each of the external grants and aid, and remittances of Jordanians labor abroad on the efficiency of monetary policy through targeting inflation rates in Jordan. As to the variables of external public debt and external shocks, the findings showed a weak impact, which was not statistically significant at a reasonable level, on the efficiency of monetary policy. The researchers recommended that decision-makers pay further attention to the vital role of the remittances of the Jordanians labor abroad, which is one of the main bases of the Jordanian economy. This is due to its crucial impact on the Jordanian economy.

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