IDEAS home Printed from https://ideas.repec.org/a/ibn/ijefaa/v14y2022i6p1.html
   My bibliography  Save this article

Spillovers of US Unconventional Monetary Policy to Emerging Markets: Evidence from Egypt

Author

Listed:
  • Ahmed Ashour Abdullah
  • Ahmed Mohamed Hassanien

Abstract

This paper studies the Spillover effect of US unconventional monetary policy (UMP) on Egypt as a case study of an emerging market and a small open economy The authors adopts structural vector autoregressive (SVAR) model with variable lag structure. The Wu and Xia (2016)’s shadow interest rate is used as a measure of U.S. unconventional monetary policy. In case of Egypt, we use Short Interest rate (r) as a measure of monetary policy rate; our empirical results reveal that US unconventional monetary policies significantly affect the monetary policy of Egypt but this effect is less on other macroeconomic variables. The main recommendation of the paper is that monetary authority in Egypt should take into consideration the conflict effect of US monetary policy on Egyptian economic indicators, and at the same time it should implement suitable policies coincide with it to achieve the economic stability and targeting inflation.

Suggested Citation

  • Ahmed Ashour Abdullah & Ahmed Mohamed Hassanien, 2022. "Spillovers of US Unconventional Monetary Policy to Emerging Markets: Evidence from Egypt," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(6), pages 1-1, June.
    • Handle: RePEc:ibn:ijefaa:v:14:y:2022:i:6:p:1
    as

    Download full text from publisher

    File URL: https://ccsenet.org/journal/index.php/ijef/article/download/0/0/47190/50526
    Download Restriction: no
    File URL: https://ccsenet.org/journal/index.php/ijef/article/view/0/47190
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Glick, Reuven & Leduc, Sylvain, 2012. "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Journal of International Money and Finance, Elsevier, vol. 31(8), pages 2078-2101.
    2. Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2015. "U.S. unconventional monetary policy and transmission to emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 27-59.
    3. Viral V Acharya & Tim Eisert & Christian Eufinger & Christian Hirsch, 2019. "Whatever It Takes: The Real Effects of Unconventional Monetary Policy," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3366-3411.
    4. Lakdawala, Aeimit, 2021. "The growing impact of US monetary policy on emerging financial markets: Evidence from India," Journal of International Money and Finance, Elsevier, vol. 119(C).
    5. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    6. Peersman, Gert, 2011. "Macroeconomic effects of unconventional monetary policy in the euro area," Working Paper Series 1397, European Central Bank.
    7. Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2014. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 615-642, June.
    8. Peersman, Gert, 2011. "Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area," CEPR Discussion Papers 8348, C.E.P.R. Discussion Papers.
    9. Gert Peersman, 2012. "Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound," 2012 Meeting Papers 400, Society for Economic Dynamics.
    10. Kimura Takeshi & Nakajima Jouchi, 2016. "Identifying conventional and unconventional monetary policy shocks: a latent threshold approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 277-300, January.
    11. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2022. "International spillover effects of unconventional monetary policies of major central banks," International Review of Financial Analysis, Elsevier, vol. 79(C).
    12. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
    13. Shigeki Ono, 2020. "Impacts of conventional and unconventional US monetary policies on global financial markets," International Economics and Economic Policy, Springer, vol. 17(1), pages 1-24, February.
    14. William Cheung & Scott Fung & Shih-Chuan Tsai, 2010. "Global capital market interdependence and spillover effect of credit risk: evidence from the 2007-2009 global financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 85-103.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lwazi Senzo Ntshangase & Sheunesu Zhou & Irrshad Kaseeram, 2023. "The Spillover Effects of US Unconventional Monetary Policy on Inflation and Non-Inflation Targeting Emerging Markets," Economies, MDPI, vol. 11(5), pages 1-15, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lwazi Senzo Ntshangase & Sheunesu Zhou & Irrshad Kaseeram, 2023. "The Spillover Effects of US Unconventional Monetary Policy on Inflation and Non-Inflation Targeting Emerging Markets," Economies, MDPI, vol. 11(5), pages 1-15, May.
    2. Mr. Giovanni Ganelli & Nour Tawk, 2016. "Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia: a Global VAR approach," IMF Working Papers 2016/099, International Monetary Fund.
    3. Markmann, Holger & Zietz, Joachim, 2017. "Determining the effectiveness of the Eurosystem’s Covered Bond Purchase Programs on secondary markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 314-327.
    4. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
    5. Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2013. "The impact of unconventional monetary policy on the Italian economy during the sovereign debt crisis," Questioni di Economia e Finanza (Occasional Papers) 203, Bank of Italy, Economic Research and International Relations Area.
    6. Carrera, César & Ramírez-rondán, Nelson R., 2020. "Effects Of Us Quantitative Easing On Latin American Economies," Macroeconomic Dynamics, Cambridge University Press, vol. 24(8), pages 1989-2011, December.
    7. Carrera, César & Pérez-Forero, Fernando & Ramírez-Rondán, Nelson, 2014. "Effects of the U.S. quantitative easing on the Peruvian economy," Working Papers 2014-017, Banco Central de Reserva del Perú.
    8. Gerti Shijaku, 2015. "The Macroeconomic Pass-through Effects of Monetary Policy through Sign Restrictions Approach: In the Case of Albania," IHEID Working Papers 11-2015, Economics Section, The Graduate Institute of International Studies.
    9. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    10. Carsten M. Stann & Theocharis N. Grigoriadis, 2020. "Monetary Policy Transmission to Russia and Eastern Europe," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 62(2), pages 303-353, June.
    11. Rosenberg, Signe, 2019. "The effects of conventional and unconventional monetary policy on house prices in the Scandinavian countries," Journal of Housing Economics, Elsevier, vol. 46(C).
    12. Urszula Szczerbowicz, 2015. "The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 91-127, December.
    13. Aßhoff, Sina & Belke, Ansgar & Osowski, Thomas, 2021. "Unconventional monetary policy and inflation expectations in the Euro area," Economic Modelling, Elsevier, vol. 102(C).
    14. Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae, 2013. "Unconventional Monetary Policy of the ECB during the Financial Crisis: An Assessment and New Evidence," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 4, pages 117-156, SUERF - The European Money and Finance Forum.
    15. Jef Boeckx & Maarten Dossche & Gert Peersman, 2017. "Effectiveness and Transmission of the ECB's Balance Sheet Policies," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 297-333, February.
    16. Bhattarai, Saroj & Chatterjee, Arpita & Park, Woong Yong, 2021. "Effects of US quantitative easing on emerging market economies," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    17. Arthur Korus, 2019. "Spillover Effects from the ECB's Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 53-78, January.
    18. christiaan Pattipeilohy, 2016. "A comparative analysis of developments in central bank balance sheet composition," BIS Working Papers 559, Bank for International Settlements.
    19. repec:nbb:reswpp:201411-275 is not listed on IDEAS
    20. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    21. Bennani, Hamza & Burgard, Jan Pablo & Neuenkirch, Matthias, 2023. "The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model," Macroeconomic Dynamics, Cambridge University Press, vol. 27(7), pages 1893-1931, October.

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijefaa:v:14:y:2022:i:6:p:1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.