The Impacts of U.S. Monetary Policy on Macroeconomic Under Different Exchange Rate Regimes
Date Issued
2011
Date
2011
Author(s)
Wu, Jia-Lin
Abstract
The U.S. monetary policy will often affect macroeconomic variables in other countries through international transmission channels. And this study attempts to explore the international transmission effects of U.S. monetary policy under different exchange rate regimes. We Select China and Thailand as countries of fixed exchange rate, and Japan and South Korea as countries of floating exchange rate. And the range of data is September 1998 to July 2010.
This study uses Granger causality test and impulse response analysis to prove the international transmission effects of U.S. monetary policy. And after the effects of international transmission of U.S. monetary policy were proved, we use distributed-lag model and variance decomposition to compare the effects of international transmission under different exchange rate regimes.
The empirical results of this study: some macroeconomic variables of all countries in this study were affected by the impact of U.S. monetary policy. And it means the effects of international transmission of U.S. monetary policy were proved. Besides, because the countries of floating exchange rate are vulnerable to external economic shocks and have the open economy, the U.S. monetary policy have a greater impact on their macroeconomic variables.
Subjects
Monetary Policy
Exchange Rate Regimes
International Transmission
Impulse Response Function
Variance Decomposition
Type
thesis
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