Macroeconomics Commons^™

Essays On Spillover Effects Across U.S And China, Zhuo Xi

Dissertations, Theses, and Capstone Projects

Chapter1: With the rapid development and continuous advancement of economic globalization, the links between countries around the world have become increasingly tight. Among them, the United States, as the world's largest economy, its monetary policy is bound to cause significant spillover effects on other economies around the world. By constructing a Threshold SVAR model with monthly data from 1996 to 2019, this paper empirically investigates the spillover effects of US monetary policy on China's economy during different U.S policy regimes. The transmission mechanism of such effects has been tested through different channels including policy channel, trade channel, asset value channel …

The Impact Of The Volatility Of Monetary Policy On A Small Economy: Some Evidence From New Zealand, Reza Moosavi Mohseni Dr., Jiling Cao, Wenjun Zhang

Reza Moosavi Mohseni

This paper investigates the impact of the international and domestic volatility of monetary policy shocks on a small economy using the GARCH-SVAR model. We enrich the SVAR model by using time-varying International and domestic volatilities as endogenous variables. The results show that although monetary policy shocks have transient effect on real economy (neutrality of money) the impact of the volatility of monetary policy shocks on real part of the economy is permanent and significant. Findings of variance decomposition also show that New Zealand heavily depends on international trade, so international monetary shocks can have a permanent impact on the local …

The Impact Of Global And Domestic Volatility Of Monetary Policy: A Var-Garch Approach, Reza Moosavi Mohseni Dr., Jiling Cao Prof., Wenjun Zhang Dr.

Reza Moosavi Mohseni

In the past six decades a lot of research has been carried out to find the effect of monetary policy on real economy. But in the most of these articles, the effect of the volatility of monetary policy has been ignored. This paper investigates the impact of the international and domestic volatility of monetary policy shocks using the GARCH-VAR model. We enrich the VAR model by adding time-varying volatility as endogenous variables. We consider three different types of shocks: internal (domestic), regional and global. For our empirical evidence we use quarterly data of Australia and New Zealand from 1988:1 to …

A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala

Undergraduate Economic Review

This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.

La Política Monetaria Y Su Impacto Sobre Los Retornos Reales Del Mercado Bursátil Chileno, Jorge Muñoz, Claudio Recabal, Andres Acuña

Andrés A. Acuña

The Relationship Between Inflation And Inflation Uncertainty In Emerging Market Economies, John Thornton

John Thornton

A standard Generalized Autoregressive Conditional Heteroskedastic (q,v) model is employed to construct a measure of monthly intlation uncertainty in 12 emerging market economies, and the relationship between inflation and inflation uncertainty is examined using Granger causality tests. The results suggest that higher inflation rates increased inflation uncertainty in all the economies, providing strong support for the Friedman hypothesis. The evidence on the effect of inflation uncertainty on average monthly inflation is more mixed, with increased inflation uncertainty leading to lower average inflation in Colombia. Israel. Mexico, and Turkey, consistent with the Holland hypothesis, but to higher average intlation in Hungary. …