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首页> 外文期刊>Research in International Business and Finance >Dependence of the 'Fragile Five' and 'Troubled Ten' emerging market financial systems on US monetary policy and monetary policy uncertainty
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Dependence of the 'Fragile Five' and 'Troubled Ten' emerging market financial systems on US monetary policy and monetary policy uncertainty

机译：“脆弱的五”和“陷入困境的十”新兴市场金融系统对美国货币政策和货币政策不确定性的依赖性

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In this study, I measure the dependence of the financial markets of certain emerging market countries on US monetary policy and monetary policy uncertainty. To do so, I apply the time- varying copula models proposed by Patton (200). I am particularly interested in the differences between these markets' dependence on US monetary policy, i.e. which of the countries' financial markets tend to comove in response to quantitative easing or quantitative tightening policies. The results are important because financial risks via contagion need monitoring, especially since the 2008 subprime crisis, although emerging markets were affected less than advanced economies. My analysis point to a significant difference between these emerging markets regarding their dependence on US monetary policy. The correlation persistence parameters, which determine the evolution of time-varying dependence, show that emerging countries, especially in Latin America, are strongly dependent on both US monetary policy and monetary policy uncertainty. It is therefore interesting to see that the results reveal increasing dependence during the subprime crisis but a decrease after 2009. I conclude that increasing dependence during stress periods should be considered as a risk factor for policymakers who closely monitor financial markets in emerging countries.
机译：在这项研究中，我衡量了某些新兴市场国家金融市场对美国货币政策和货币政策不确定性的依赖。为此，我应用了Patton（200）提出的时断的Copula模型。我对这些市场对美国货币政策的依赖之间的差异特别感兴趣，即哪些国家的金融市场倾向于回应量化宽松或定量收紧政策。结果是重要的，因为通过传染性的金融风险需要监测，特别是自2008年以来，虽然新兴市场受到较低的经济体的影响。我的分析指出，这些新兴市场对其对美国货币政策的依赖之间的显着差异。相关持久性参数，决定了时变依赖的演变，表明新兴国家，特别是在拉丁美洲，强烈依赖于美国货币政策和货币政策不确定性。因此，有趣的是，结果揭示了在次贷危机期间增加依赖，而且在2009年之后减少。我得出结论，在压力期间增加依赖应该被视为监察新兴国家金融市场的政策制定者的危险因素。

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