Monetary policy co-movement and spillover of shocks among BRICS economies

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dc.contributor.authorÇekin, Semih Emre
dc.contributor.authorGeremew, Menelik S.
dc.contributor.authorMarfatia, Hardik
dc.date.accessioned2021-01-08T21:51:22Z
dc.date.available2021-01-08T21:51:22Z
dc.date.issued2019
dc.departmentTAÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.descriptionCekin, Semih Emre/0000-0003-4637-3112en_US
dc.descriptionWOS:000467987300008en_US
dc.description.abstractThe 2008 global financial crisis has revealed the possibility of cross-border spillover effects of domestic Monetary Policy (MP) on financial stability and capital flows around the world. Recognizing these facts, Central Banks in Advanced Economies (AE) have undertaken simultaneous Monetary Policy actions to minimize collateral damage and contain financial risks. In this paper, we investigate whether a similar spillover and co-movement of Monetary Policy exist among BRICS countries. Specifically, we study the transmission of monetary policy shocks among the member countries using monthly data. We use the method of Principal Component Analysis (PCA) and Vector Autoregression Model to identify possible dynamic relationships. Our results indicate possible co-movement in interest rates and significant cross-border transmission of monetary policy shocks among the BRICS countries.
dc.identifier.doi10.1080/13504851.2018.1545072
dc.identifier.endpage1263en_US
dc.identifier.issn1350-4851
dc.identifier.issn1466-4291
dc.identifier.issue15en_US
dc.identifier.scopus2-s2.0-85057556969
dc.identifier.scopusqualityQ2
dc.identifier.startpage1253en_US
dc.identifier.urihttp://doi.org/10.1080/13504851.2018.1545072
dc.identifier.urihttps://hdl.handle.net/20.500.12846/185
dc.identifier.volume26en_US
dc.identifier.wosWOS:000467987300008
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇekin, Semih Emre
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofApplied Economics Letters
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectMonetary Policyen_US
dc.subjectBricsen_US
dc.subjectPrincipal Componentsen_US
dc.subjectVaren_US
dc.subjectPanel Varen_US
dc.titleMonetary policy co-movement and spillover of shocks among BRICS economies
dc.typeArticle

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