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    The Transmission of Interest Rate hocks to Asia - Are Effects Different below the Zero Lower Bound?

    Feldkircher, Martin; Huber, Florian; Chantapacdepong, Pornpinun; Punzi, Maria Teresa | March 2017
    Abstract
    We use a non-linear factor-augmented vector-autoregressive model to evaluate international effects of an unexpected decrease in euro area policy rates. Given the current environment of ultra low or negative interest rates, we especially focus on potential differences in the transmission of the monetary policy shock depending on the level of interest rates in the country from where the shock originates, i.e., the euro area. A euro area monetary policy shock when euro area interest rates are positive at the time the shock occurs tends to trigger positive spillovers to industrial production, house and stock prices and negative effects on short- and long-term interest rates, as well as on inflation. Results tend to be similar when interest rates are already below zero at the time monetary policy turns out to be expansionary, however responses are estimated with a larger degree of uncertainty. In some cases, a distinct transmission depending on the level of interest rates in the euro area, is observable but no general patterns emerge from the data.
    Citation
    Feldkircher, Martin; Huber, Florian; Chantapacdepong, Pornpinun; Punzi, Maria Teresa. 2017. The Transmission of Interest Rate hocks to Asia - Are Effects Different below the Zero Lower Bound?. © Asian Development Bank Institute. http://hdl.handle.net/11540/7780.
    Keywords
    International Financial Market
    Multilateral Financial Institutions
    Economic Recession
    Market
    Crisis
    Economic indicators
    Growth models
    Gross domestic product
    Macroeconomics
    Economic forecast
    Financial Stability
    Financial Management System
    Financial Restructuring
    Capital Market Development
    Market Development
    Economics
    Erosion
    International Economics
    Macroeconomic
    Macroeconomic Analysis
    Performance Evaluation
    Impact Evaluation
    Foreign and Domestic Financing
    Foreign Direct Investment
    Business recessions
    Multilateral development banks
    Regulatory reform
    Capital
    Exports
    Economic development projects
    Economic policy
    Economic forecasting
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    Citable URI
    http://hdl.handle.net/11540/7780
    Metadata
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    Author
    Feldkircher, Martin
    Huber, Florian
    Chantapacdepong, Pornpinun
    Punzi, Maria Teresa
    Theme
    Finance
    Economics
     
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise