Spillover Effects of US Unconventional Monetary Policy: (Evidence from Selected Asian Countries)

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-06-23 DOI:10.1142/s0219091521500132

S. Ziaei, K. Szulczyk

引用次数: 1

Abstract

In this study, we evaluate the impact of US monetary policy between 2008 and 2018 (after implementation of quantitative easing policy) on assets, bonds, exchange rates of selected East Asian countries (Japan, South Korea, and Thailand). Our finding emphasized the significant role of US monetary policy on the East Asia financial markets especially in the case of South Korea. Results show that the US Treasury bill spread had the long run and US corporate spread had the short run effects on the asset markets of these countries. More specifically, sovereign yields respond significantly to US term spreads and stock prices respond largely to US corporate spread. The responses of exchange rate and house prices to US monetary policy are significant but attenuate.

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美国非常规货币政策的溢出效应:(来自部分亚洲国家的证据)

在本研究中，我们评估了2008年至2018年(在实施量化宽松政策后)美国货币政策对选定的东亚国家(日本、韩国和泰国)的资产、债券和汇率的影响。我们的发现强调了美国货币政策对东亚金融市场的重要作用，特别是在韩国的情况下。结果表明，美国国库券利差对这两个国家的资产市场具有长期影响，美国公司利差对这两个国家的资产市场具有短期影响。更具体地说，主权债券收益率对美国期限息差的反应显著，而股票价格主要对美国公司的息差作出反应。汇率和房价对美国货币政策的反应是显著的，但会减弱。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.