نویسنده
Bahadır, Berrak, Lastrapes, W. D.
تاریخ انتشار
2015-11
محل انتشار
-
Elsevier
موضوع
FAVAR, Capital mobility, Principal components
نوع
دوره ای
زبان
انگلیسی
دیجیتال
بله
نسخه خطی
خیر
کتابخانه
دانشگاه اوزیغین
شناسه دارایی کتابخانه
1873-0639
شماره ثبت
7e77e9bc-c1e9-4920-a318-a50c376fa349
محل کتابخانه
Economics
تاریخ
2015-11
یادداشتها
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
متن نمونه
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
