Skip to main content
Erschienen in: Journal of Economics and Finance 3/2022

04.04.2022

U.S. monetary policy and the predictability of global economic synchronization patterns

verfasst von: Mehmet Balcilar, Riza Demirer

Erschienen in: Journal of Economics and Finance | Ausgabe 3/2022

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

This paper proposes output gap dispersion as a measure of economic synchronization patterns across the world economies. Utilizing a novel, multivariate quantile causality testing methodology and data from a set of 45 advanced and emerging nations, we present evidence of significant causal effects of U.S. monetary policy measures over synchronization patterns across the advanced and emerging economy business cycles, even after controlling for various risk and uncertainty proxies. While U.S. monetary policy actions cause significant interdependence in business cycles across advanced economies, we find that the Fed’s policy decisions also contribute to uncertainty in industrial output patterns. U.S. monetary policy actions are also found to have significant causal effects on the dispersion of emerging market output gaps at low quantiles, suggesting that policy actions by the U.S. Fed drive synchronized economic activity across emerging nations. The findings have significant implications, particularly for policy makers in emerging economies, when it comes to the coordination of their domestic as well as regional monetary policies in response to monetary policy shocks from the U.S.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Fußnoten
1
The data for SSR and EMS are available from the Reserve Bank of New Zealand and the data for EPU index is available at http://​www.​policyuncertaint​y.​com/​.
 
2
The great bond massacre (Fortune, 1994) by Al Ehrbar. Fortune magazine, February 3, 2013.
 
3
This period also coincides with the announcement of the quantitative easing program by the European Central Bank.
 
Literatur
Zurück zum Zitat Ahmed AD, Huo A (2019) Impacts of China’s crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement. Econ Model 79:28–46CrossRef Ahmed AD, Huo A (2019) Impacts of China’s crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement. Econ Model 79:28–46CrossRef
Zurück zum Zitat Ali, S., Badshah, I., Demirer, R. (2022). Value-at-Risk and the Cross Section of Emerging Market Hedge Fund Returns. Glob Financ J 52, 100693. Ali, S., Badshah, I., Demirer, R. (2022). Value-at-Risk and the Cross Section of Emerging Market Hedge Fund Returns. Glob Financ J 52, 100693.
Zurück zum Zitat Anaya, P., Hachula, M., Offermanns, C. J. 2017. Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows. J Int Money Financ 73, Part B (May 2017), 275–295. Anaya, P., Hachula, M., Offermanns, C. J. 2017. Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows. J Int Money Financ 73, Part B (May 2017), 275–295.
Zurück zum Zitat Arouri M, Jawadi F, Nguyen DK (2013) What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis? J Macroecon 36:175–187CrossRef Arouri M, Jawadi F, Nguyen DK (2013) What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis? J Macroecon 36:175–187CrossRef
Zurück zum Zitat Atanasov V (2018) World output gap and global stock returns. J Empir Financ 48:181–197CrossRef Atanasov V (2018) World output gap and global stock returns. J Empir Financ 48:181–197CrossRef
Zurück zum Zitat Bachmann R, Bayer C (2013) “Wait-and-see” business cycles? J Monet Econ 60:704–719CrossRef Bachmann R, Bayer C (2013) “Wait-and-see” business cycles? J Monet Econ 60:704–719CrossRef
Zurück zum Zitat Baker SR, Bloom N, Davis SJ (2016) Measuring Economic Policy Uncertainty. Q J Econ 131:1593–1636CrossRef Baker SR, Bloom N, Davis SJ (2016) Measuring Economic Policy Uncertainty. Q J Econ 131:1593–1636CrossRef
Zurück zum Zitat Balcilar M, Demirer R, Gupta R, Eyden RV (2017) The Impact of US Policy Uncertainty on the Monetary Effectiveness in the Euro Area. J Policy Model 39(6):1052–1064CrossRef Balcilar M, Demirer R, Gupta R, Eyden RV (2017) The Impact of US Policy Uncertainty on the Monetary Effectiveness in the Euro Area. J Policy Model 39(6):1052–1064CrossRef
Zurück zum Zitat Balcilar M, Gupta R, Nguyen DK, Wohar ME (2018) Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach. Appl Econ 50(53):5712–5727CrossRef Balcilar M, Gupta R, Nguyen DK, Wohar ME (2018) Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach. Appl Econ 50(53):5712–5727CrossRef
Zurück zum Zitat Balcilar, M., Bathia, D., Demirer, R., Gupta, R. 2019. Credit Ratings and Predictability of Stock Return Dynamics of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach. Working paper. Dept Econ Univ Pretoria. Balcilar, M., Bathia, D., Demirer, R., Gupta, R. 2019. Credit Ratings and Predictability of Stock Return Dynamics of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach. Working paper. Dept Econ Univ Pretoria.
Zurück zum Zitat Bekaert G, Hoerova M, Duca ML (2013) Risk, uncertainty and monetary policy. J Monet Econ 60:771–788CrossRef Bekaert G, Hoerova M, Duca ML (2013) Risk, uncertainty and monetary policy. J Monet Econ 60:771–788CrossRef
Zurück zum Zitat Bekaert G, Harvey CR, Ng A (2005) Market integration and contagion. J Bus 78(1):39–69CrossRef Bekaert G, Harvey CR, Ng A (2005) Market integration and contagion. J Bus 78(1):39–69CrossRef
Zurück zum Zitat Bekaert G, Hodrick RJ, Zhang X (2009) International stock return comovements. J Financ 64(6):2591–2626CrossRef Bekaert G, Hodrick RJ, Zhang X (2009) International stock return comovements. J Financ 64(6):2591–2626CrossRef
Zurück zum Zitat Billio M, Caporin M (2005) Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Stat Methods Appl 14:145–161CrossRef Billio M, Caporin M (2005) Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Stat Methods Appl 14:145–161CrossRef
Zurück zum Zitat Bloom N (2009) The impact of uncertainty shocks. Econometrica 77:623–685CrossRef Bloom N (2009) The impact of uncertainty shocks. Econometrica 77:623–685CrossRef
Zurück zum Zitat Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten, I., Terry, S.J., 2012. Really Uncertain Business Cycles. NBER Work Papers 18245. Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten, I., Terry, S.J., 2012. Really Uncertain Business Cycles. NBER Work Papers 18245.
Zurück zum Zitat Bloom N, Floetotto M, Jaimovich N, Saporta-Eksten I, Terry SJ (2018) Really Uncertain Business Cycles. Econometrica 86(3):1031–1065CrossRef Bloom N, Floetotto M, Jaimovich N, Saporta-Eksten I, Terry SJ (2018) Really Uncertain Business Cycles. Econometrica 86(3):1031–1065CrossRef
Zurück zum Zitat Bordo MD, Helbling TF (2001) International Business cycle Synchronization in Historical Perspective. Manch Sch 79(2):208–238CrossRef Bordo MD, Helbling TF (2001) International Business cycle Synchronization in Historical Perspective. Manch Sch 79(2):208–238CrossRef
Zurück zum Zitat Broock WA, Scheinkman JA, Dechert WD, LeBaron B (1996) A test for independence based on the correlation dimension. Econ Rev 15(3):197–235CrossRef Broock WA, Scheinkman JA, Dechert WD, LeBaron B (1996) A test for independence based on the correlation dimension. Econ Rev 15(3):197–235CrossRef
Zurück zum Zitat Caraiani P (2012) Nonlinear dynamics in CEE stock markets indices. Econ Lett 114(3):329–331CrossRef Caraiani P (2012) Nonlinear dynamics in CEE stock markets indices. Econ Lett 114(3):329–331CrossRef
Zurück zum Zitat Caldara, D., Iacoviello, M. 2019. Measuring Geopolitical Risk. Working paper, Board of Governors of the Federal Reserve Board, December 2019. Caldara, D., Iacoviello, M. 2019. Measuring Geopolitical Risk. Working paper, Board of Governors of the Federal Reserve Board, December 2019.
Zurück zum Zitat Colombo V (2013) Economic policy uncertainty in the US: Does it matter for the Euro area? Econ Lett 121(1):39–42CrossRef Colombo V (2013) Economic policy uncertainty in the US: Does it matter for the Euro area? Econ Lett 121(1):39–42CrossRef
Zurück zum Zitat Cooper I, Priestley R (2009) Time-Varying Risk Premiums and the Output Gap. Rev Financ Stud 22(7):2801–2833CrossRef Cooper I, Priestley R (2009) Time-Varying Risk Premiums and the Output Gap. Rev Financ Stud 22(7):2801–2833CrossRef
Zurück zum Zitat Demirer R, Yuksel A, Yuksel A (2021) On the hedging benefits of REITs: The role of risk aversion and market states. Econ Bus Lett 10(2):126–132CrossRef Demirer R, Yuksel A, Yuksel A (2021) On the hedging benefits of REITs: The role of risk aversion and market states. Econ Bus Lett 10(2):126–132CrossRef
Zurück zum Zitat De Vita G, Kyaw K (2008) Determinants of Capital Flows to Developing Countries: a Structural VAR Analysis. J Econ Stud 35:304–322CrossRef De Vita G, Kyaw K (2008) Determinants of Capital Flows to Developing Countries: a Structural VAR Analysis. J Econ Stud 35:304–322CrossRef
Zurück zum Zitat Eichengreen B (2010) Lessons of the Crisis for Emerging Markets. IEEP 7(1):49–62CrossRef Eichengreen B (2010) Lessons of the Crisis for Emerging Markets. IEEP 7(1):49–62CrossRef
Zurück zum Zitat Ha, J., Kose, A., Ohnsorge, F. L. 2019. Global inflation synchronization. Policy Research The World Bank. Work Paper 8768. Ha, J., Kose, A., Ohnsorge, F. L. 2019. Global inflation synchronization. Policy Research The World Bank. Work Paper 8768.
Zurück zum Zitat Jeong K, Härdle WK, Song S (2012) A consistent nonparametric test for causality in quantile. Econ Theor 28:861–887CrossRef Jeong K, Härdle WK, Song S (2012) A consistent nonparametric test for causality in quantile. Econ Theor 28:861–887CrossRef
Zurück zum Zitat Jurado K, Ludvigson SC, Ng S (2015) Measuring Uncertainty. Am Econ Rev 105(3):1177–1215CrossRef Jurado K, Ludvigson SC, Ng S (2015) Measuring Uncertainty. Am Econ Rev 105(3):1177–1215CrossRef
Zurück zum Zitat Karadimitropoulou A (2018) Advanced economies and emerging markets: Dissecting the drivers of business cycle synchronization. J Econ Dyn Control 93:115–130CrossRef Karadimitropoulou A (2018) Advanced economies and emerging markets: Dissecting the drivers of business cycle synchronization. J Econ Dyn Control 93:115–130CrossRef
Zurück zum Zitat Kose MA, Otrok C, Prasad E (2012) Global Business Cycles: Convergence or Decoupling? Int Econ Rev 53(2):511–538CrossRef Kose MA, Otrok C, Prasad E (2012) Global Business Cycles: Convergence or Decoupling? Int Econ Rev 53(2):511–538CrossRef
Zurück zum Zitat Kose MA, Prasad ES (2010) Emerging Markets: Resilience and Growth amid Global Turmoil. Brookings Institution Press, Washington, DC Kose MA, Prasad ES (2010) Emerging Markets: Resilience and Growth amid Global Turmoil. Brookings Institution Press, Washington, DC
Zurück zum Zitat Kose, A., Lakatos, C, Ohnsorge, F. K., Stocker, M. 2017. The global role of the US economy: Linkages, policies and spillovers. Australian National University, CAMA Work Paper 13/2017. Kose, A., Lakatos, C, Ohnsorge, F. K., Stocker, M. 2017. The global role of the US economy: Linkages, policies and spillovers. Australian National University, CAMA Work Paper 13/2017.
Zurück zum Zitat Krippner, L. 2013. A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models. Discussion Paper, Reserve Bank of New Zealand, 2013/02. Krippner, L. 2013. A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models. Discussion Paper, Reserve Bank of New Zealand, 2013/02.
Zurück zum Zitat Ludvigson, S. C., Ma, S. and Ng, S. 2020. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? Am Econ J Macroecon, forthcoming. Ludvigson, S. C., Ma, S. and Ng, S. 2020. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? Am Econ J Macroecon, forthcoming.
Zurück zum Zitat Miranda-Agrippino, S., Rey, H. 2015. World asset markets and the global financial cycle. NBER Work Paper: 21722 (Revised Feb. 2018). Miranda-Agrippino, S., Rey, H. 2015. World asset markets and the global financial cycle. NBER Work Paper: 21722 (Revised Feb. 2018).
Zurück zum Zitat Nishiyama Y, Hitomi K, Kawasaki Y, Jeong K (2011) A consistent nonparametric Test for nonlinear causality - specification in time series regression. J Econ 165:112–127CrossRef Nishiyama Y, Hitomi K, Kawasaki Y, Jeong K (2011) A consistent nonparametric Test for nonlinear causality - specification in time series regression. J Econ 165:112–127CrossRef
Zurück zum Zitat Nitschka T (2014) Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns. J Bank Financ 42:76–82CrossRef Nitschka T (2014) Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns. J Bank Financ 42:76–82CrossRef
Zurück zum Zitat Passari E, Rey H (2015) Financial flows and the international monetary system. Econ J 125(584):675–698CrossRef Passari E, Rey H (2015) Financial flows and the international monetary system. Econ J 125(584):675–698CrossRef
Zurück zum Zitat Rey, H. 2018. Dilemma not trilemma: The global financial cycle and monetary policy independence. NBER Working Paper: 21162 (Feb. 2018). Rey, H. 2018. Dilemma not trilemma: The global financial cycle and monetary policy independence. NBER Working Paper: 21162 (Feb. 2018).
Zurück zum Zitat Salisu, A., Gupta, R., Demirer, R. (forthcoming). Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model. Energy Econ Salisu, A., Gupta, R., Demirer, R. (forthcoming). Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model. Energy Econ
Zurück zum Zitat Wu JC, Xia FD (2016) Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. J Money, Credit, Bank 48(2–3):253–291CrossRef Wu JC, Xia FD (2016) Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. J Money, Credit, Bank 48(2–3):253–291CrossRef
Zurück zum Zitat Yeyati EL, Williams T (2012) Emerging Economies in the 2000s: Real Decoupling and Financial Recoupling. J Int Money Financ 31(8):2102–2126CrossRef Yeyati EL, Williams T (2012) Emerging Economies in the 2000s: Real Decoupling and Financial Recoupling. J Int Money Financ 31(8):2102–2126CrossRef
Metadaten
Titel
U.S. monetary policy and the predictability of global economic synchronization patterns
verfasst von
Mehmet Balcilar
Riza Demirer
Publikationsdatum
04.04.2022
Verlag
Springer US
Erschienen in
Journal of Economics and Finance / Ausgabe 3/2022
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-022-09577-9

Weitere Artikel der Ausgabe 3/2022

Journal of Economics and Finance 3/2022 Zur Ausgabe