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The Impacts of Unconventional US Monetary Policy and Other Shocks on BRICs Economies: Time-Varying Parameter VAR Models
https://aulib.repo.nii.ac.jp/records/2000156
https://aulib.repo.nii.ac.jp/records/2000156528e2ede-24f8-4f85-8e7d-8a7a0b1a7170
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
The Impacts of Unconventional US Monetary Policy and Other Shocks on BRICs Economies: Time-Varying Parameter VAR Models (752 KB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2025-04-10 | |||||
| タイトル | ||||||
| タイトル | The Impacts of Unconventional US Monetary Policy and Other Shocks on BRICs Economies: Time-Varying Parameter VAR Models | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題 | Monetary policy | |||||
| キーワード | ||||||
| 主題 | TVP-VAR; BRICs | |||||
| キーワード | ||||||
| 主題 | Impulse responses | |||||
| 資源タイプ | ||||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
大野, 成樹
× 大野, 成樹 |
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| 著者（英） | ||||||
| 姓名 | Ono, Shigeki | |||||
| 抄録 | ||||||
| 内容記述 | This study employs TVP-VAR models to investigate the effects of the unconventional monetary policy of the United States and other shocks on the financial markets of BRICs from 2007 through 2018. Impulse response results show that after introducing unconventional monetary policy measures, a federal funds rate shock stabilized emerging markets’ exchange rates and raised stock prices. In contrast, in the monetary normalization process, a federal funds rate shock depreciated emerging markets’ exchange rates and pushed up BRICs’ stock prices under favorable economic conditions. The BRICs’ interest rates responded largely to a federal funds rate shock when the US shadow policy rate was at the bottom. Furthermore, a negative S&P500 shock generally depreciated BRICs’ exchange rates before 2013, whereas a positive S&P500 shock depreciated the rates after 2013. | |||||
| 言語 | en | |||||
| 書誌情報 |
ja : 旭川市立大学経済学部紀要 en : The journal of Faculty of Economics, Asahikawa City University 号 2, p. 1-25, 発行日 2025-03-31 |
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| 出版者 | ||||||
| 出版者 | 旭川市立大学経済学部 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | PISSN | |||||
| 収録物識別子 | 27590720 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AB00030139 | |||||
| 著者版フラグ | ||||||
| 出版タイプ | VoR | |||||
