International transmissions of monetary shocks: Between a trilemma and a dilemma

Explaining Monetary Spillovers: The Matrix Reloaded

“…In the case of Fed policy shocks, the coefficient in front of the interaction term of our FX regime measure and the risk premium shock is marginally significant. Overall, these results suggest that spillover strengths are to some extent related to FX regimes, consistent with recent findings in Han and Wei (2016). measuring FX volatility with respect to shock-originating economies; the dependent variable is the daily change in 10-year bond yields in our set of 47 recipient economies; as regressors, besides the monetary shocks for the ECB and the Fed, specifications also include the daily change in the US Treasury yield and the VIX as global controls; the reported coefficients correspond to ˆj  in Equation (2); t-stat from PCSE are given in parentheses; cells coloured red (blue) indicate statistically significant positive (negative) coefficients at a 10 per cent confidence level; FX volatility is measured as a 1-year rolling realised volatility estimate, based on squared daily spot FX changes (%)…”

Insulating property of the flexible exchange rate regime: A case of Central and Eastern European countries

“…[such] shocks.' Similarly, Zeev (2019) finds that the exchange rate fixity has a 'negative effect on macroeconomic stability,' whereas Han and Wei (2018) offer evidence that the flexible rate regime insulates against tightening of foreign monetary policy, but not against its loosening. 14 Figure 3: Impulse response functions of the relative output to nominal shocks in Croatia and Hungary Interestingly, floaters and peggers differed with respect to the responses of the real exchange rate to all but monetary shocks.…”

Financial Spillovers and Macroprudential Policies

“…Similarly,Han and Wei (2018) find asymmetrical effects of capital controls, depending on whether core country monetary policy is tightening or loosening.…”