全球智库信息集成服务系统(G2TT): Self-Oriented Monetary Policy, Global Financial Markets and Excess Volatility of International Capital Flows

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w21737
来源ID	Working Paper 21737
	Self-Oriented Monetary Policy, Global Financial Markets and Excess Volatility of International Capital Flows
	Ryan Banerjee; Michael B. Devereux; Giovanni Lombardo
发表日期	2015-11-23
出版年	2015
语种	英语
摘要	This paper explores the nature of macroeconomic spillovers from advanced economies to emerging market economies (EMEs) and the consequences for independent use of monetary policy in EMEs. We first empirically document the effects of US monetary policy shocks on a sample group of EMEs. A contractionary monetary shock leads a retrenchment in EME capital flows, a fall in EME GDP, and an exchange rate depreciation. We construct a the- oretical model which can help to account for these findings. In the model, macroeconomic spillovers are exacerbated by financial frictions. We assess the extent to which domestic monetary policy can mitigate the negative spillovers from foreign shocks. Absent financial frictions, international spillovers are minor, and an inflation targeting rule represents an ef- fective policy for the EME. With frictions in financial intermediation, however, spillovers are substantially magnified, and an inflation targeting rule has little advantage over an exchange rate peg. However, an optimal monetary policy markedly improves on the performance of naive inflation targeting or an exchange rate peg. Furthermore, optimal policies don’t need to be coordinated across countries. Under the specific set of assumptions maintained in our model, a non-cooperative, self-oriented optimal policy gives results very similar to those of a global cooperative optimal policy.
主题	Macroeconomics ; Business Cycles ; Monetary Policy ; International Economics ; International Finance ; Globalization and International Relations ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w21737
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/579412
推荐引用方式 GB/T 7714	Ryan Banerjee,Michael B. Devereux,Giovanni Lombardo. Self-Oriented Monetary Policy, Global Financial Markets and Excess Volatility of International Capital Flows. 2015.