Internal Seminar: Ubaid ur Rehman

U.S. Monetary Policy Spillovers to Emerging Equity Markets

This paper examines the transmission of U.S. monetary policy shocks to stock return volatility in emerging economies. It develops a small open economy DSGE framework as a proof of concept for the propagation mechanism, showing how foreign monetary shocks can affect exchange rates, borrowing conditions, inflation, and real activity, with implications for equity market volatility. The empirical analysis uses daily return data for 14 emerging market stock indices and models volatility with a GJR-GARCH specification. The baseline results indicate that U.S. monetary policy developments are associated with significant changes in emerging market volatility, while the asymmetric specification allows for differential responses across tightening and easing episodes. The analysis is then extended to incorporate high-frequency monetary policy surprises, providing additional evidence that market volatility responds not only to policy changes themselves but also to the information content of U.S. monetary policy announcements.

Salle des Congrès at MIR. Note modified time (11:30-12:30)