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Essay on Monetary Policy Spillovers to Emerging Market Economies

Normanno, Matteo
(2025)

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NORMANNO_29182300_2025.pdf
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Details

Supervisors
Oikonomou, Rigas
Faculty
Faculté des sciences économiques, sociales, politiques et de communication
Degree label
Master [120] en sciences économiques, orientation générale, à finalité approfondie
Abstract
This paper examines the spillover effects of US monetary policy on emerging market economies (EMEs), focusing on the distinction between monetary policy shocks (MP shocks) and central bank information shocks (CBI shocks). Using a panel Bayesian Structural VAR (SVAR) with high-frequency identification, the study isolates the effects of these shocks during Federal Open Market Committee (FOMC) announcements. Results reveal significant heterogeneity in how EMEs respond to these shocks, driven by structural and institutional differences. A Global Bayesian Vector Autoregressive (GBVAR) model is employed to analyze regional transmission patterns, showing that Latin American economies tend to exhibit more pronounced and persistent responses compared to other EMEs. Additionally, an endogenous grouping methodology identifies sub-groups of countries with similar transmission dynamics. These findings underscore the complexities of global monetary spillovers and emphasize the need for policy frameworks in EMEs that account for these heterogeneities.