The spillover of shadow interest rate to the excess returns in emerging markets

ÖZÇELEBİ O., Izgi M. T.

ECONOMIC JOURNAL OF EMERGING MARKETS, cilt.13, sa.2, ss.134-144, 2021 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 2
  • Basım Tarihi: 2021
  • Doi Numarası: 10.20885/ejem.vol13.iss2.art3
  • Dergi Adı: ECONOMIC JOURNAL OF EMERGING MARKETS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
  • Sayfa Sayıları: ss.134-144
  • Anahtar Kelimeler: shadow interest rates, excess returns, emerging countries, VARMA-BEKK-AGARCH model, MONETARY-POLICY, STOCK MARKETS
  • İstanbul Üniversitesi Adresli: Evet

Özet

Purpose - This study focuses on the monetary policy transmission of the U.S. on the excess returns in emerging markets by estimating the impacts of changes in the shadow interest rate in the U.S. on the Barclays Benchmark EM FX Trend Excess Return Index and the Barclays Cross Asset Trend Index.