Emerging market economies and the world interest rate

Name: Emerging market economies and the world interest rate
Author: Bahadır, Berrak, Lastrapes, W. D.

İsim	Emerging market economies and the world interest rate
Yazar	Bahadır, Berrak, Lastrapes, W. D.
Basım Tarihi:	2015-11
Basım Yeri	- Elsevier
Konu	FAVAR, Capital mobility, Principal components
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1873-0639
Kayıt Numarası	7e77e9bc-c1e9-4920-a318-a50c376fa349
Lokasyon	Economics
Tarih	2015-11
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	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

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Emerging market economies and the world interest rate

Yazar Bahadır, Berrak, Lastrapes, W. D.

Basım Tarihi 2015-11

Basım Yeri - Elsevier

Konu FAVAR, Capital mobility, Principal components

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1873-0639

Kayıt Numarası 7e77e9bc-c1e9-4920-a318-a50c376fa349

Lokasyon Economics

Tarih 2015-11

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin 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