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

• 成果类型: Article
• 署名作者: Han, Xuehui; Wei, Shang-Jin
• 署名单位: Asian Development Bank; Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.11.005
• 发表日期: 2018
• 页码: 205-219
• 关键词: Interest rate shocks; Fixed exchange rate; Flexible exchange rate; dilemma; trilemma; Capital flow management

摘要

This paper re-examines international transmissions of monetary policy shocks from advanced economies to emerging market economies. In terms of methodologies, it combines three novel features. First, it separates co-movement in monetary policies due to common shocks from spillovers of monetary policies from advanced to peripheral economies. Second, it uses revisions in growth and inflation and the Taylor rule to gauge desired changes in a country's interest rate if it is to focus exclusively on growth, inflation, and real exchange rate stability. Third, it proposes a specification that can work with the quantitative easing episodes when no changes in US interest rates are observed. In terms of empirical findings, we differ from the existing literature and document patterns of 2.5-lemma or something between a trilemma and a dilemma: without capital controls, a flexible exchange rate regime offers some monetary policy autonomy when the center country tightens its monetary policy, yet it fails to do so when the center country lowers its interest rate. Capital controls help to insulate periphery countries from monetary policy shocks from the center country even when the latter lowers its interest rate. (C) 2017 Elsevier B.V. All rights reserved.