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COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy

This paper investigates the spillover effects of United States monetary policy on exchange rates of 11 emerging markets and 12 advanced economies during the pre-Coronavirus Disease 2019 (COVID-19) period of 2019 versus the COVID-19 period of 2020. The investigation was achieved via a structural vect...

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Autor principal: Yilmazkuday, Hakan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9244376/
https://www.ncbi.nlm.nih.gov/pubmed/35789806
http://dx.doi.org/10.1007/s11293-022-09747-4
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author Yilmazkuday, Hakan
author_facet Yilmazkuday, Hakan
author_sort Yilmazkuday, Hakan
collection PubMed
description This paper investigates the spillover effects of United States monetary policy on exchange rates of 11 emerging markets and 12 advanced economies during the pre-Coronavirus Disease 2019 (COVID-19) period of 2019 versus the COVID-19 period of 2020. The investigation was achieved via a structural vector autoregression model, where year-on-year changes in weekly measures of economic activity, exchange rates and policy rates were used. The empirical results suggest evidence for the spillover effects of United States monetary policy for several countries during the pre-COVID-19 period, whereas they have been effective only for certain countries during the COVID-19 period that can be explained by the disease outbreak channel. It is implied that policies keeping the pandemic under control may help mitigate the unforeseen economic effects of the COVID-19 crisis. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s11293-022-09747-4.
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spelling pubmed-92443762022-06-30 COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy Yilmazkuday, Hakan Atl Econ J Article This paper investigates the spillover effects of United States monetary policy on exchange rates of 11 emerging markets and 12 advanced economies during the pre-Coronavirus Disease 2019 (COVID-19) period of 2019 versus the COVID-19 period of 2020. The investigation was achieved via a structural vector autoregression model, where year-on-year changes in weekly measures of economic activity, exchange rates and policy rates were used. The empirical results suggest evidence for the spillover effects of United States monetary policy for several countries during the pre-COVID-19 period, whereas they have been effective only for certain countries during the COVID-19 period that can be explained by the disease outbreak channel. It is implied that policies keeping the pandemic under control may help mitigate the unforeseen economic effects of the COVID-19 crisis. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s11293-022-09747-4. Springer US 2022-06-28 2022 /pmc/articles/PMC9244376/ /pubmed/35789806 http://dx.doi.org/10.1007/s11293-022-09747-4 Text en © International Atlantic Economic Society 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Yilmazkuday, Hakan
COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy
title COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy
title_full COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy
title_fullStr COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy
title_full_unstemmed COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy
title_short COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy
title_sort covid-19 and exchange rates: spillover effects of u.s. monetary policy
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9244376/
https://www.ncbi.nlm.nih.gov/pubmed/35789806
http://dx.doi.org/10.1007/s11293-022-09747-4
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