The effects of U.S. monetary policy on international mutual fund investment

Ciminelli, Gabriele; Rogers, John H.; Wu, Wei

doi:10.1016/j.jimonfin.2022.102676

Cited by 20 publications

(6 citation statements)

References 36 publications

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“…First, we investigate whether the source of the monetary policy shock may play a role in determining the sign and extent of the global spillovers. Recent literature has identified an information effect of monetary policy, whereby financial market participants may react differently to interest rate increases if they are predicated on inflationary concerns or on stronger growth prospects (Stavrakeva and Tang 2019, Degasperi et al 2020, Miranda-Agrippino and Rey 2020a, Miranda-Agrippino and Ricco 2021, Jarociński 2022, Ciminelli et al 2022, Pinchetti and Szczepaniak 2023. For instance, there is evidence that a tightening in US monetary policy stemming from higher growth prospects is associated with moderate or even opposite spillovers to EME's asset prices and capital flows (Ciminelli et al 2022, Hoek et al 2022, Pinchetti and Szczepaniak 2023 To test how our results are affected by central bank information effects-in the baseline we use monetary policy shocks that do not control for the source of the tightening shock-we resort to the poor man's sign restrictions monetary policy shock series from Jarociński and Karadi (2020).…”

Section: Extensions and Robustness Checksmentioning

confidence: 99%

The Zombie Lending Channel of Monetary Policy

Albuquerque

2023

IMF Working Papers

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Section: Extensions and Robustness Checksmentioning

confidence: 99%

The Zombie Lending Channel of Monetary Policy

Albuquerque

2023

IMF Working Papers

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“…The rate increased by the Fed could reduce investment attractiveness in ASEAN+3 countries since global investors prefer to invest in the US, which offers higher yields. This circumstance may impede economic growth and lead to lower output than potential (Bräuning and Sheremirov 2019;Ciminelli et al 2022). Because of the spillover effects, an increase in interest rates in the United States may result in a global rate hike, including in ASEAN+3 countries.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Interest Rate Spillover on Output Gap: A Dynamic Spatial Durbin Model

Wuri,

Hardanti,

Harnoto

et al. 2024

Economies

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The recent multidimensional crisis has harmed the global economy because countries are currently integrated. In this study, we examine the spillover effect of the United States (US) interest rate on the output gap of ASEAN+3 countries using the dynamic spatial Durbin model from 2010 to 2020. After controlling for various institutional variables, this analysis further examines the effect of the exchange rate and the COVID-19 pandemic on the output gap. This model captures the spatial interactions and short- and long-term effects of interest rate monetary policies. The findings indicate a negative spillover effect of the US central bank interest rate on ASEAN+3 countries’ output gap. The result had significant direct and indirect short-term effects. Additionally, exchange rates negatively affect the output gap. The output gap decreased because of the COVID-19 pandemic. This study is expected to be useful for monetary authorities in developing the best monetary policy for economic recovery.

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“…Especially in 2013, the Fed said that its future is to gradually shrink its balance sheet. The move also caused turmoil in emerging markets (EM) [2]. Higher interest rates tend to be bad for the stock market.…”

Section: Introductionmentioning

confidence: 99%

Feds Monetary Policy and Dynamic Changes in Stock Prices of Large Supermarket Chain

2023

AEMPS

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The U.S. is experiencing the highest inflation in 40 years, and prices have been rising. The Fed adjusts this rate to achieve one goal - to maintain maximum employment and price stability in the United States. But the Fed's sharp rate hikes also raise the risk of a sharp slowdown, especially as new challenges emerge, such as Russia's war with Ukraine and China's capacity problems due to Covid lockdowns. This article assesses the impact of Fed rate hikes on the supermarket stock market. This paper builds a VAR model and an ARMA-GARCH model to analyze changes in stock prices from the perspective of value and volatility. This paper finds that Fed rate hikes unsurprisingly negatively impacted stock returns and increased their volatility, leaving stock prices in an unpredictable situation. The research paper can give the Fed a reference data. When the Fed decides to raise interest rates, it needs to consider the current world economic situation. For example, flu and war will affect the world economy, and will also have some impact when the Fed raises interest rates.

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The effects of U.S. monetary policy on international mutual fund investment

Cited by 20 publications

References 36 publications

The Zombie Lending Channel of Monetary Policy

The Zombie Lending Channel of Monetary Policy

The Impact of Interest Rate Spillover on Output Gap: A Dynamic Spatial Durbin Model

Feds Monetary Policy and Dynamic Changes in Stock Prices of Large Supermarket Chain

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