Dynamics of monetary policy spillover: The role of exchange rate regimes

Dynamic return and volatility spillovers among S&P 500, crude oil, and gold

“…They evidenced that oil and gold market are the net receivers of risk spillovers with the energy, financial, technology and telecommunications subsectors of the DJIM index, whereas the consumer goods, consumer services, health care, industrials, utilities subsectors of DJIM index are the net transmitters. Last but not least, more recent studies such as Restrepo, Uribe, and Manotas (2018), Wang and Guo (2018), Liow, Liao, and Huang (2018), Antonakakis, Cunado, Filis, Gabauer, and De Gracia (2018), Collet and Lelpo (2018), Ahmad, Mishra, and Daly (2018), Ordu‐Akkaya, Ugurlu‐Yildirim, and Soytas (2018), Wang and Wu (2018), Kočenda and Moravcova (2018), Rohit and Dash (2018), and Pavlova, de Boyrie, and Parhizgari (2018) have used the DY spillover index to investigate the intercontinental, intercountry and/or intersectoral return and/or volatility spillovers for energy, commodity and financial assets and indices.…”

State dependence and exchange rate regime choice: a new empirical explanation to the polarization phenomenon

“…Some literatures believe the floating exchange rate regime is a good choice. Rohit and Dash (2019) finds that the flexible exchange rate regime in the advanced economies insulates them against the spillover to a relatively larger extent as compared to the managed float regime in the emerging market economies. Zeev (2019) finds output responds significantly more adversely to contractionary global credit supply shocks in the fixed ERR than in the non-fixed ERR.…”

The role of asymmetry in the interplay between internal and external factors: Empirical evidence from the US, Brazil, Canada and Mexico

“…They found that in terms of the spillover effects, a flexible exchange rate regime in AEs is more insulating than the implementation of a managed float regime in EMEs. Moreover, Rohit and Dash (2018) found that signaling channels, risk taking, and portfolio rebalancing were more efficient in expressing the increase in spillovers in EMEs than in AEs.…”

“…In the scientific literature, there are studies suggesting that the effects of external shocks and changes in the monetary policy stance can be mitigated by a flexible exchange rate regime (Edwards, 2015;Obstfeld, 2015). In this context, Rohit and Dash (2018) employed a time-varying model to study the effects of exchange rate regimes to understand monetary policy spillovers using a set of AEs and EMEs. They found that in terms of the spillover effects, a flexible exchange rate regime in AEs is more insulating than the implementation of a managed float regime in EMEs.…”

“…In order to overcome this crisis, the central banks of developed countries, and in particular the Fed, have implemented quantitative easing (QE) policies that have international effects. In this context, monetary policy can be classified as conventional or unconventional, and the impact of the international spillover effects of monetary policy has been the subject of many studies (Chen et al, 2016;Potjagailo, 2017;Hajek and Horvath, 2018;Rohit and Dash, 2018). Additionally, the identification of the transmission mechanism of monetary policy with indicators reflecting unconventional monetary policy has gained importance in terms of raising its effectiveness.…”