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
