外汇与全球货币冲击:发达经济体量化宽松对新兴市场汇率波动的不对称影响

IF 0.9 Q3 ECONOMICS

INTERNATIONAL ECONOMIC JOURNAL Pub Date : 2022-07-03 DOI:10.1080/10168737.2022.2098353

Helena Glebocki Keefe, Sujata Saha

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引用次数: 0

摘要

这项研究评估了发达经济体量化宽松政策引发的全球货币冲击对新兴市场汇率波动的影响。使用面板ARDL（自回归分布滞后）模型，检测到一种不对称效应，表明量化宽松的增加对汇率波动有显著影响，而随后的缩减则没有。此外，脆弱的五个经济体的汇率波动率飙升，是其他新兴市场的两倍多。最后，为抵消对波动性的影响而进行的外汇干预对新兴市场的影响很大，在脆弱的五个经济体中影响更大。使用面板VAR（矢量自回归）估计来支持结果。

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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Foreign Exchange and Global Monetary Shocks: The Asymmetric Effects of Advanced Economies’ Quantitative Easing on Exchange Rate Volatility in Emerging Markets

This research assesses the impact of global monetary shocks stemming from quantitative easing policies in advanced economies on exchange rate volatility in emerging markets. Using panel ARDL (Autoregressive Distributed Lag) model, an asymmetric effect is detected showing that increases in quantitative easing have a significant impact on exchange rate volatility, whereas subsequent tapering does not. Moreover, the Fragile Five economies experience spikes in exchange rate volatility that are more than double what is detected in other emerging markets. Finally, the impact of foreign exchange intervention to offset the effect on volatility is significant across emerging markets and is, once again, larger in the Fragile Five economies. The results are supported using panel VAR (Vector Autoregression) estimations.

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来源期刊

INTERNATIONAL ECONOMIC JOURNAL Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

2.10

自引率

0.00%

发文量

期刊介绍： International Economic Journal is a peer-reviewed, scholarly journal devoted to publishing high-quality papers and sharing original economics research worldwide. We invite theoretical and empirical papers in the broadly-defined development and international economics areas. Papers in other sub-disciplines of economics (e.g., labor, public, money, macro, industrial organizations, health, environment and history) are also welcome if they contain international or cross-national dimensions in their scope and/or implications.