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

ÖZÇELEBİ O., Izgi M. T.

ECONOMIC JOURNAL OF EMERGING MARKETS, vol.13, no.2, pp.134-144, 2021 (ESCI) identifier

  • Publication Type: Article / Article
  • Volume: 13 Issue: 2
  • Publication Date: 2021
  • Doi Number: 10.20885/ejem.vol13.iss2.art3
  • Journal Name: ECONOMIC JOURNAL OF EMERGING MARKETS
  • Journal Indexes: Emerging Sources Citation Index (ESCI)
  • Page Numbers: pp.134-144
  • Keywords: shadow interest rates, excess returns, emerging countries, VARMA-BEKK-AGARCH model, MONETARY-POLICY, STOCK MARKETS
  • Istanbul University Affiliated: Yes

Abstract

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.