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1 – 10 of over 2000Krittika Banerjee and Ashima Goyal
After the adoption of unconventional monetary policies (UMPs) in advanced economies (AEs) there were many studies of monetary spillovers to asset prices in emerging market…
Abstract
Purpose
After the adoption of unconventional monetary policies (UMPs) in advanced economies (AEs) there were many studies of monetary spillovers to asset prices in emerging market economies (EMEs) but the extent of contribution of EMEs and AEs, respectively, in real exchange rate (RER) misalignments has not been addressed. This paper addresses the gap in a cross-country panel set-up with country specific controls.
Design/methodology/approach
Fixed effects, pooled mean group (Pesaran et al., 1999) and common correlated effects (Pesaran, 2006) estimations are used to examine the relationship. Multiway clustering is taken into account to ensure robust statistical inferences.
Findings
Robust evidence is found for significant monetary spillovers over 1998–2017 in the form of RER overvaluation of EMEs against AEs, especially through the portfolio rebalancing channel. EME RER against the US saw significantly more overvaluation in UMP years indicating greater role of the US in monetary spillovers. However, in the long-run monetary neutrality holds. EMEs did pursue mercantilist and precautionary policies that undervalued their RERs. Precautionary undervaluation is more evident with bilateral EME US RER.
Research limitations/implications
It may be useful for large EMEs to monitor the impact of foreign portfolio flows on short-run deviations in RER. Export diversification reduces EME mercantilist motives against the US. That AE monetary policy significantly appreciates EME RER has implications for future policy cooperation between EMEs and AEs.
Originality/value
To the best of the author's knowledge such a comparative analysis between AE and EME policy variables on RER misalignment has not been done previously.
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Harpreet Singh Grewal and Pushpa Trivedi
The purpose of this paper is to investigate the impact of the US unconventional monetary policy surprises on the management of trilemma in India.
Abstract
Purpose
The purpose of this paper is to investigate the impact of the US unconventional monetary policy surprises on the management of trilemma in India.
Design/methodology/approach
This paper uses the event study approach along with OLS and MANOVA to examine the impact.
Findings
The results validate the existence of trilemma in India for the period from October 2008 to December 2017. The results also show that monetary policy independence still exists in India in the wake of greater spillover effects during the Federal Open Market Committee announcement days. The spillover effects on USD-INR exchange rates and capital flows are found to be statistically significant. The MANOVA results show that the trilemma in India is influenced by around 20% by the changes in the US monetary policy.
Originality/value
The above approach of event study combined with MANOVA in this subject area has not been used before to the best of the authors’ knowledge. Further, there are only a few studies that exist on the spillover effects of the US monetary policy actions on the management of trilemma in India.
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Tuotuo Qi, Tianmei Wang and Jiarui Yan
Understanding health experts' online free knowledge contribution behavior is vital for promoting health knowledge and improving health literacy. This study focuses on the…
Abstract
Purpose
Understanding health experts' online free knowledge contribution behavior is vital for promoting health knowledge and improving health literacy. This study focuses on the spillover effects of different monetary incentive levels on health experts' free knowledge contribution behavior.
Design/methodology/approach
In 2016, Zhihu Live and Zhi Hu were launched as two types of paid knowledge products on Zhihu.com, a hybrid knowledge exchange platform. Focusing on the policy impact of launching Zhihu Live and Zhi Hu, this study uses the difference-in-differences model to analyze the heterogeneous spillover effects of high-yield and low-yield monetary incentives on health experts' free knowledge contribution behavior.
Findings
In the short term, the high-yield monetary incentive has positive spillover effects on the quantity and quality of free knowledge contribution while the low-yield monetary incentive generates opposite effects. In the long term, the effects of the high-yield monetary incentive remain significantly positive. The effect of the low-yield monetary incentive on the quantity of free knowledge contribution remains significantly negative, but its effect on the quality of free knowledge contribution is not significant.
Originality/value
This study combines theories of reciprocity and resource limitation to study the spillover effects of different monetary incentive levels on health experts' online behavior. The short-term and long-term effects of different monetary incentive levels on health experts' online behavior are also explored.
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Ebere Kalu, Chinwe Okoyeuzu, Angela Ukemenam and Augustine Ujunwa
We study the contemporaneous effects of US monetary policy normalization on African stock market using panel data from six African countries.
Abstract
Purpose
We study the contemporaneous effects of US monetary policy normalization on African stock market using panel data from six African countries.
Design/methodology/approach
Daily data from May 1, 2013 to December 31, 2018 were used in order to accommodate the announcement effects since the US monetary policy normalization announcement was made in May 2013, while the rate hike was in December 2015. The study used the FE, RE and PMG models.
Findings
The results revealed that US 10-year bond yield and Treasury bill rate shocks negatively affect stock prices in Africa. S$P500 shock positively affects African stock prices.The result revealed that the integration of African financial market to the global financial market is a major source of vulnerability. The finding that US Treasury bill rate is a major depressant of the African stock prices reveals the short-termism of foreign polio inflows into African economies.
Originality/value
We provide inexorably insight into the interplay of financial systems globally. It can be useful for the purposes of generalization in developing economies in the shape of African countries. More so, this study could be replicated in another economic bloc or region with the aim of further exposing the far-reaching spillover effects of the US monetary policy normalization.
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Ameen Omar Shareef and K.P. Prabheesh
This paper aims to examine the role of foreign banks in transmitting global monetary policy shocks to India. Further, the authors try to explore the international bank lending…
Abstract
Purpose
This paper aims to examine the role of foreign banks in transmitting global monetary policy shocks to India. Further, the authors try to explore the international bank lending channel and analyze the impact of global monetary policy on Indian macroeconomic variables.
Design/methodology/approach
The authors use a structural break unit root test and structural vector autoregression on monthly data from 1998 to 2018.
Findings
The study finds that the global monetary policy is significantly determining foreign banks’ lending in India; the evidence of a portfolio re-balancing channel in the process of global monetary policy transmission to the Indian economy; the exchange rate is significantly explaining the foreign bank credit dynamism in India; and evidence of international monetary policy spillover to the Indian economy.
Originality/value
This is the first attempt to analyze the role of foreign banks in the transmission of global monetary policy shocks to India, where the literature availability is limited. The finding of ineffective domestic monetary policy on foreign bank lending opens the need for an in-depth and diversified analysis of the role of foreign banks in the transmission of domestic monetary policy.
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Stephanos Papadamou, Costas Siriopoulos and Nikolaos A. Kyriazis
This paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.
Abstract
Purpose
This paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.
Design/methodology/approach
This survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels.
Findings
The positive effect of QE announcements on stock and bond prices seems to be unified across studies. A contagion effect from US QE to other emerging markets is identified, while currency devaluation is present in most cases for the country that its central bank adopted such policies. Moreover, impacts of non-conventional practices on GDP, inflation and unemployment are examined. The studies presenting weak instead of strong positive effects on inflation are more, and these studies, also, present weak positive effects on GDP growth.
Originality/value
Based on the large body of research on non-conventional action taking, this is the first survey including effects of each country that adopted quantitative easing (QE) measures and that provides results from every methodology employed in order to estimate unconventional practices' impacts.
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This paper aims to enhance the Global Projection Model (GPM) developed by the International Monetary Fund by constructing a GPM4 model that includes the United States of America…
Abstract
Purpose
This paper aims to enhance the Global Projection Model (GPM) developed by the International Monetary Fund by constructing a GPM4 model that includes the United States of America, the Eurozone, Japan and China.
Design/methodology/approach
This article introduces the United States of America, the Eurozone, Japan and China into a comprehensive global forecasting model, analyzing the impact of liquidity management in G3 economies on nine key macroeconomic variables in China.
Findings
The findings reveal that the liquidity management strategies employed by major economies do exert a certain influence on China's major macroeconomic variables. Different types of liquidity shocks elicit varying effects. Monetary shocks exhibit the strongest instantaneous impact, while credit conditions and policy rate shocks contribute more significantly to China's long-term macroeconomic fluctuations. However, no single shock stands out as the dominant factor.
Originality/value
This paper attempts to expand the GPM model developed by the International Monetary Fund and build a GPM4 model including China, the United States of America, the Eurozone and Japan. For the first time, the GPM model was used to analyze the spillover effects of liquidity management in major economies on China's macroeconomy and revealed the impact of non-price factors such as credit conditions on China's macroeconomic variables.
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Shan Jiang, Duc Khuong Nguyen, Peng-Fei Dai and Qingxin Meng
In the hybrid knowledge-sharing platform where paid and nonpaid (“free”) knowledge activities coexist, users’ free knowledge contribution may be influenced by financial factors…
Abstract
Purpose
In the hybrid knowledge-sharing platform where paid and nonpaid (“free”) knowledge activities coexist, users’ free knowledge contribution may be influenced by financial factors. From the perspective of opportunity cost, this study investigates the direct effect of how the amount of monetary income from users’ contribution to paid knowledge activities influences their free knowledge contribution behavior in the future. Further, this study aims to verify the interaction effect of financial and nonfinancial factors (i.e. the experience of free knowledge contribution and social recognition) on free knowledge contribution.
Design/methodology/approach
Objective data was collected from a hybrid knowledge-sharing platform in China and then analyzed by using zero-inflated negative binomial regression model.
Findings
Results show that the amount of monetary income that knowledge suppliers gain from paid knowledge contribution negatively influences their free knowledge contribution. Experience of free knowledge contribution strengthens the negatively main effect, while social recognition has the weakening moderating role.
Originality/value
Although some studies have explored and verified the positive spillover effect of financial incentives on free knowledge contribution, the quantity dimension is ignored. This study examines the hindering influence of the quantity of monetary income from the perspective of opportunity cost. By taking the characteristic of knowledge suppliers and platforms as moderators, this study deepens the understanding of the influence of monetary income on free knowledge contribution in the hybrid knowledge-sharing platform.
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The aim of this paper is to review monetary and systemic liquidity management policies that essentially aim at containing crisis and limiting their spread. A corollary is whether…
Abstract
Purpose
The aim of this paper is to review monetary and systemic liquidity management policies that essentially aim at containing crisis and limiting their spread. A corollary is whether relevant public authorities and market participants have tools at their disposal to deal with a systemic crisis affecting Institution Offering Islamic Financial Services (IIFS).
Design/methodology/approach
The method used in this study is an examination of existing literature. This paper considers mechanisms that may help contain a crisis and those that may foster post crisis recovery in the case of conventional and Islamic finance.
Findings
The progress made to date to develop money markets accessible to IIFS is commendable; however, it is not sufficient. Licensing IIFS in dual financial systems entails a public authority responsibility linked to the authorities’ accountability for the conduct of monetary policy and systemic liquidity management. Licensing an IIFS entails acknowledging the responsibility of being able to manage a system that includes IIFS. This is feasible and possible, but the issue needs to be addressed directly. In a crisis monetary policy and systemic liquidity management will be at the forefront of the stabilization efforts.
Originality/value
The experiences of Bahrain and Malaysia in developing a monetary policy and systemic liquidity management framework for their jurisdiction are assessed. The paper identifies also channels of potential spillover effects from conventional to Islamic finance.
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The paper examines the impact of the deteriorating fiscal conditions of Eurozone countries on spillover effects on bank credit margins. It is investigated whether these effects…
Abstract
Purpose
The paper examines the impact of the deteriorating fiscal conditions of Eurozone countries on spillover effects on bank credit margins. It is investigated whether these effects have been reduced after European Central Bank’s (ECB) signaling of pursuing an expansionary, unconventional, monetary policy to address the debt crisis in Eurozone.
Design/methodology/approach
A general econometric panel model is applied to investigate spillover effects between Eurozone countries and bank credit margins. In total, three periods are examined: the period before the peak of the global financial crisis and the beginning of the Irish banking crisis, the period during the debt and bank crisis in Eurozone and the period after ECB's signaling of extremely aggressive monetary easing.
Findings
According to empirical results, before the peak of the global financial crisis there was no substantial credit risk transfer from Eurozone sovereigns to banks. During the period of debt and bank crisis in Eurozone, the deterioration of the fiscal situation of Eurozone countries had a significant impact on bank Credit Default Swap (CDS) spreads. After ECB's signaling of extremely aggressive monetary easing, it does not seem to be any significant relationship between Eurozone sovereigns and bank CDS spreads. These findings reinforce the assessment that ECB's measures were effective, achieving the key objective of normalizing economic conditions and ensuring financial stability in Eurozone.
Research limitations/implications
A question is whether effects can change when the corresponding contraction will lead to a reinstatement of “normal” conditions. Would there be a reversal of risk premium trends in bond markets? Although the answer from casual observations seems to be negative, it is a valid research question to be examined. An interesting issue concerning the unconventional monetary policy measures implemented by ECB concerns the issues of moral hazard that they incorporate, something that could not be addressed. Another research perspective could be the use of the beta coefficient to measure the systematic and unsystematic risk of banking sector shares.
Practical implications
The results have strong implications for ECB and European banking regulation. Regulators should mainly pay more attention to the amount and concentration of sovereign debt held by banks. Eurozone financial system could be less vulnerable to the sovereign credit risk. It raised the critical question of whether a more strict regulation is needed. Regulators should not intervene if not necessary, but they must prevent the transmission of crises between markets. This will likely bring trust to the developed countries' sovereign debt and the portfolios of the financial institutions, which hold most of this debt will be considered safe as well.
Social implications
The conclusions provide a safe counterweight in various respects. First, the negative effects and the need to rapidly cease or limit such policies. Second, the financial stability aimed by ECB. Such policies contain the possibility of a subsequent moral hazard related to Member State and bank behavior. However, these contingencies need to be assessed with the benefits resulting from the restoration of financial markets and the disconnection between banking and sovereign credit risk. This leads Eurozone's financial system to become less vulnerable to the sovereign credit risk and therefore more safe, helping to restore confidence in the real economy.
Originality/value
Contribution in terms of methodology and conclusions. It offers important conclusions regarding the limitations of yields and volatility of CDS spreads. It examines the spillover effects of the fiscal situation of Eurozone countries on banking institutions by extending the existing methodology and introducing new questions focusing on the reaction of CDS market to the ECB monetary policy, the reduction of risk premiums at sovereign and banking level and the gradual reduction of interdependence between them.
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