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International Transmission of US Monetary Policy Shocks: VAR Evidence from the Philippines

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  • Renato E. Reside, Jr.

    (School of Economics, University of the Philippines Diliman)

Abstract

Based on Soyoung Kim's previous work for non-US G6 countries, I use eveidence from recursive vector autoregressions (VARs) in order to analyze the international transmission mechanism of expansionary US monetary policy shocks to other countries. The method not only attempts to ascertain the workings of the mechanism itself, but it also tries to discern which theoretical model's predictions (Mundell-Fleming vs. the intertemporal model of Obstfeld and Rogoff) fit the data best. For the Philippines, at least, the initial evidence suggests that the transmission mechanism follows the traditional Mundell-Fleming model (a US monetary expansion is beggar-thy-neighbor and works primarily through exchange rate and trade balance effects).

Suggested Citation

  • Renato E. Reside, Jr., 2004. "International Transmission of US Monetary Policy Shocks: VAR Evidence from the Philippines," UP School of Economics Discussion Papers 200405, University of the Philippines School of Economics.
    • Handle: RePEc:phs:dpaper:200405
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    File URL: http://www.econ.upd.edu.ph/dp/index.php/dp/article/view/25/20
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    Cited by:

    1. Kronick, Jeremy, 2014. "Monetary Policy Shocks from the EU and US: Implications for Sub-Saharan Africa," MPRA Paper 59416, University Library of Munich, Germany.
    2. Chibuike R. Oguanobi* & Anthony A. Akamobi & Ogonna E. Ifebi & Anne C. Maduka, 2015. "Does interest rate shocks transmit from united states to Ghana? Evidence from vector auto-regression," Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(3), pages 1-12, July-Sepe.
    3. Mohamed A. Eldepcy, 2022. "The Budget Deficit Financing Impact on the Real Exchange Rate in Egypt (1975-2020)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(3), pages 1-84, February.

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