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VGU RESEARCH REPOSITORY


Please use this identifier to cite or link to this item: https://epub.vgu.edu.vn/handle/dlibvgu/713
Title: The international monetary spillover effect of the United State: a GVAR based and SVAR based comparison
Authors: Le Ha Anh 
Keywords: International monetary policy spillover;Global vector autoregressive;GVAR;Structural vector autoregressive;SVAR
Issue Date: 2018
Publisher: Vietnamese-German University
Abstract: 
The United States monetary policy plays a dominant role in determining worldwide financial conditions. Recent research has demonstrated that emerging market economies are vulnerable to pressure from the policy stance of the Federal Reserve. This paper investigates the spillover effect of the conventional monetary policy between the U.S and other countries using structural vector autoregressive (SVAR) and global vector autoregressive (GVAR) . The analysis shows that the U.S monetary policy has significant impacts on not only monetary policy rate in both developed countries and emerging markets but also the economic growth and other macroeconomics variables. In addition, the results show the change in transmission of spillover after global financial crisis in 2008.
URI(1): http://epub.vgu.edu.vn/handle/dlibvgu/713
Rights: Attribution-NonCommercial 4.0 International
Appears in Collections:Finance & Accounting (FA)

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