Fed and ECB monetary policy spillovers to Emerging Market Economies

Walerych, Małgorzata; Wesołowski, Grzegorz

doi:10.1016/j.jmacro.2021.103345

Cited by 11 publications

(3 citation statements)

References 16 publications

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“…Falagiarda et al (2015), Kucharčuková et al (2016), and Potjagailo (2017) provide evidence of unconventional and conventional ECB policy spillovers to financial markets in noneuro area European countries. Walerych and Wesołowski (2021) compare the spillover effects of conventional Fed and ECB policy actions in a panel of emerging markets, while Kim and Nguyen (2009) perform a similar analysis for stock markets in the Asia‐Pacific region. We extend this line of study by estimating the impact of ECB monetary policy on Bangladeshi equities.…”

Section: Introductionmentioning

confidence: 99%

International monetary spillovers to frontier financial markets: Evidence from Bangladesh

Sardar,

Schaffer

2024

International Finance

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This paper investigates international monetary spillovers to stock prices in Bangladesh, a frontier market that has been excluded from prior studies in the literature. Using daily stock price data for over 300 publicly traded firms in a high‐frequency event study framework, we find that contractionary monetary shocks originating from the US, euro area, and China lower stock prices, with Chinese monetary shocks having the largest impact. Contractionary shocks originating from India, on the other hand, lead to a statistically significant increase in stock returns. The positive response is driven by a small number of policy decisions. When these outlier decisions are removed from the sample, contractionary Indian monetary shocks lead to a decline in stock prices in line with spillovers from the other countries.

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Section: Introductionmentioning

confidence: 99%

International monetary spillovers to frontier financial markets: Evidence from Bangladesh

Sardar,

Schaffer

2024

International Finance

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“…The findings imply that clear communication is crucial for comprehending developments in monetary policy[5]. Magorzata Walerych et al reveal that conventional monetary policies of the Fed and ECB have worldwide spillover effects on emerging market economies (EMEs)[6]. By dissecting stock market returns, Tim D. Maurer et al uncover the economic causes of the stock market reactions of 40 nations to US monetary policy surprises[7].…”

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confidence: 99%

Automated Central Bank Policy Question and Answer System based on Large Language Models

Yan,

Mo,

et al. 2024

Proceedings of the 4th International Conference on Economic Management and Big Data Applications, ICEMBDA 2023, October 27–29,

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The monetary policy is a crucial tool for guiding national economic regulations, as it upholds economic stability and fosters economic development. Specifically, the policies implemented by the Chinese Central Bank play a vital role in managing inflation and bolstering economic growth. These policies directly influence the living standards of the population and their financial decisions. However, in the past, interpreting these policies required a strong professional background in economics or finance, along with significant manual effort. The emergence of Q&A systems has provided the general public with better access to understanding the measures taken by the central bank and accessing monetary policy information more efficiently. Unfortunately, most of these Q&A systems employ basic and outdated natural language processing (NLP) algorithms and models, resulting in limited abilities to understand and reason about the policies and questions, ultimately leading to poor outcomes. In this paper, we present our approach to creating and training a state-of-the-art Q&A system for Chinese Central Bank policies using large language models (LLMs). Specifically, we demonstrate three of the most popular Chinese-based LLMs: IFlytek, ChatGPT, and LangChain-ChatGLM. Among them, IFlytek and ChatGPT are cloud-service-based LLMs trained through the prompt-tuning method. On the other hand, LangChain-ChatGLM utilizes the Langchain framework, which includes autoregressive gap filling and combines the advantages of autocoding and autoregressive pretraining. The ChatGLM-6B model is used for knowledge learning in this approach. We compare the performance of all these LLMs and publish the comparison results for future study.

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“…They also documented that in the CEE region, the EUR's impact is larger than the Fed's. (Walerych & Wesołowski, 2021) Miranda-Agrippino & Nenova (2022) found that the aggregate real spillover of the Fed is higher, but on the financial market, their impact is roughly similar in magnitude, sign, and shape. In other words, the international risk-taking channel is similar compared to the Fed.…”

Section: The Impact Of the Federal Reserve Andmentioning

confidence: 99%

Monetary Policy Spillovers – The Impact of Advanced Central Banks’ Decisions on Emerging Financial Markets

Sztanó

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The thesis delves into the impact of advanced central banks' monetary policies on emerging government bond markets, the so-called 'monetary policy spillovers.' Over the past decade, there has been a reported correlation between interest rates on advanced and emerging financial markets. Following the Global Financial Crisis, substantial international capital flows occurred, particularly to government bond markets of emerging countries, influenced by the aggressive monetary easing of the major central banks. The research aims to address the puzzling question of the extent to which large central banks impact emerging financial markets. It outlines a research agenda to examine the size of monetary policy spillovers in the case of the Federal Reserve, the European Central Bank, and the Bank of Japan. Beyond the magnitude of the spillover effect, regional differences and factors influencing recipient countries' sensitivity to international shocks are also examined. In summary, the thesis contributes to the international finance literature by shedding light on the relationship between advanced central banks’ monetary policy decisions and the dynamics of emerging government bond markets.

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Fed and ECB monetary policy spillovers to Emerging Market Economies

Cited by 11 publications

References 16 publications

International monetary spillovers to frontier financial markets: Evidence from Bangladesh

International monetary spillovers to frontier financial markets: Evidence from Bangladesh

Automated Central Bank Policy Question and Answer System based on Large Language Models

Monetary Policy Spillovers – The Impact of Advanced Central Banks’ Decisions on Emerging Financial Markets

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