Spillovers to Emerging Market Economies

Azad, Nahiyan Faisal

Spillovers to Emerging Market Economies

dc.contributor.advisor	Serletis, Apostolos
dc.contributor.author	Azad, Nahiyan Faisal
dc.contributor.committeemember	Gordon, Daniel
dc.contributor.committeemember	Tanaka, Atsuko
dc.date	2022-06
dc.date.accessioned	2022-05-19T17:41:28Z
dc.date.available	2022-05-19T17:41:28Z
dc.date.issued	2022-05
dc.description.abstract	This dissertation consists of three essays investigating the impact of macroeconomic shocks in emerging markets. The first chapter explores for spillovers from monetary policy in the United States to a number of emerging market economies. The chapter starts with estimating a bivariate structural GARCH-in-Mean VAR in the U.S. monetary policy rate and the policy rate of each of six emerging economies that target the inflation rate - Brazil, Chile, Mexico, Romania, Serbia, and South Africa. We also estimate the same model in the U.S. monetary policy rate and the exchange rate (against the U.S. dollar) of each of six emerging economies that target the exchange rate - Bosnia and Herzegovina, Bulgaria, Comoros, Croatia, the Former Yugoslav Republic of Macedonia, and Montenegro. The primary conclusion of this chapter is that positive (negative) U.S. monetary policy shocks tend to appreciate (depreciate) the currencies of the exchange rate targeting emerging economies, but have an ambiguous effect on the policy rates of the inflation-targeting emerging economies. The second chapter presents a comprehensive examination of the effects of oil price shocks on real economic activity in the EM7 economies in the context of two classes of empirical models. The chapter provides evidence that, in general, oil price uncertainty has statistically signi cant effects on the real output of the EM7 economies and that the relationship between oil prices and economic activity is in general symmetric. The chapter also finds that oil price uncertainty has in general a negative effect on world crude oil production. The fi nal chapter investigates for spillovers from monetary policy uncertainty in the United States to the policy rates of seven inflation targeting emerging economies - Brazil, Chile, Colombia, Indonesia, Mexico, Poland, and South Africa. The chapter uses monthly data, with the start of the sample period being dictated by the start of the inflation targeting regime, and a multivariate GARCH-in-Mean vector autoregression (VAR), controlling for the traditional Taylor rule type variables. The chapter also employs a multivariate structural VAR and a different measure of U.S. monetary policy uncertainty, achieving identi cation by a combination of short-run and long-run restrictions. The chapter concludes that U.S. monetary policy uncertainty, irrespective of how it is measured, has negative effects on the macroeconomic and financial fundamentals of emerging economies.	en_US
dc.identifier.citation	Azad, N. F. (2022). Spillovers to emerging market economies (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.	en_US
dc.identifier.doi	http://dx.doi.org/10.11575/PRISM/39795
dc.identifier.uri	http://hdl.handle.net/1880/114684
dc.language.iso	eng	en_US
dc.publisher.faculty	Arts	en_US
dc.publisher.institution	University of Calgary	en
dc.rights	University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.	en_US
dc.subject	Emerging economies	en_US
dc.subject	GARCH-in-Mean	en_US
dc.subject	Uncertainty	en_US
dc.subject.classification	Economics	en_US
dc.title	Spillovers to Emerging Market Economies	en_US
dc.type	doctoral thesis	en_US
thesis.degree.discipline	Economics	en_US
thesis.degree.grantor	University of Calgary	en_US
thesis.degree.name	Doctor of Philosophy (PhD)	en_US
ucalgary.item.requestcopy	true	en_US