اقتصادهای نوظهور بازار و نرخ بهره جهانی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|45989||2015||28 صفحه PDF||سفارش دهید||15250 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Money and Finance, Volume 58, November 2015, Pages 1–28
We use a Factor Augmented VAR model to estimate the dynamic responses of interest rates in emerging market economies to the ‘world’ interest rate, which we extract from a dynamic factor model of yields in industrialized countries. Our results provide evidence that many emerging market yields respond to world rate shocks, at least gradually, which is broadly consistent with capital market integration. Our findings also suggest that the world rate captures information about emerging market yields not contained in US rates, which are typically used to proxy for the world rate.