We use a two-country New Keynesian model with balance sheet constraints to investigate the magnitude of international spillovers of U.S. monetary policy. Home borrowers obtain funds from domestic households in domestic currency, as well as from residents of the foreign economy (the United...

This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance decompositions with high frequency data. Our...

This paper explores the extent to which changes to long-term interest rates in major developed economies have influenced long-term government bond yields in emerging Asia. To gauge long-term interest spillover effects, the paper uses vector autoregressive variance decompositions with...

This paper investigates international monetary spillovers to stock prices in Bangladesh, a frontier market that has been excluded from prior studies in the literature. Using daily stock price data for over 300 publicly traded firms in a high frequency framework, we find that contractionary...

Interest rates have moved closely together internationally in recent years, despite business cycles often being at different stages across countries. We investigate whether international monetary spillovers drove this co-movement, ie whether interest rates in core advanced economies drove...