Author
Bahadır, Berrak, Lastrapes, W. D.
Publication Date
2015-11
Publication Place
-
Elsevier
Subject
FAVAR, Capital mobility, Principal components
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
1873-0639
Record ID
7e77e9bc-c1e9-4920-a318-a50c376fa349
Library Location
Economics
Date
2015-11
Notes
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Sample Text
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.
DOI
10.1016/j.jimonfin.2015.08.001
