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Fed and ECB monetary policy spillovers to Emerging Market Economies

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  • Walerych, Małgorzata
  • Wesołowski, Grzegorz

Abstract

This paper presents evidence that the international spillovers of both Fed and ECB conventional monetary policies to Emerging Market Economies (EMEs) are global. The result comes from the panel Bayesian Vector Autoregressive (BVAR) model estimated for EMEs in which we control i.a. for foreign central banks’ policy shocks. Furthermore, in the separate BVAR model for Central and Eastern European (CEE) countries we show that the ECB is the main foreign central bank for these economies — after controlling for its shocks, their Fed counterparts play a very moderate role in driving GDP and prices in CEE.

Suggested Citation

  • Walerych, Małgorzata & Wesołowski, Grzegorz, 2021. "Fed and ECB monetary policy spillovers to Emerging Market Economies," Journal of Macroeconomics, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:jmacro:v:70:y:2021:i:c:s0164070421000483
    DOI: 10.1016/j.jmacro.2021.103345
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    Cited by:

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    2. Aizenman, Joshua & Park, Donghyun & Qureshi, Irfan A. & Saadaoui, Jamel & Salah Uddin, Gazi, 2024. "The performance of emerging markets during the Fed’s easing and tightening cycles: A cross-country resilience analysis," Journal of International Money and Finance, Elsevier, vol. 148(C).
    3. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.
    4. Md. Rashedur Rahman Sardar & Matthew Schaffer, 2024. "International monetary spillovers to frontier financial markets: Evidence from Bangladesh," International Finance, Wiley Blackwell, vol. 27(1), pages 81-100, April.
    5. Sardar, Rashedur & Schaffer, Matthew, 2022. "International Monetary Spillovers to Frontier Financial Markets: Evidence from Bangladesh," UNCG Economics Working Papers 22-5, University of North Carolina at Greensboro, Department of Economics.
    6. Michele Ca’ Zorzi & Luca Dedola & Georgios Georgiadis & Marek Jarocinski & Livio Stracca & Georg Strasser, 2023. "Making Waves: Monetary Policy and Its Asymmetric Transmission in a Globalized World," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 95-144, June.

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    More about this item

    Keywords

    Monetary policy spillovers; International business cycles; Emerging economies;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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