Premium
Unconventional monetary policy spillovers: Evidence from India
Author(s) -
Thomas Aiswarya,
Kumar Lakshmi
Publication year - 2019
Publication title -
journal of public affairs
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.221
H-Index - 20
eISSN - 1479-1854
pISSN - 1472-3891
DOI - 10.1002/pa.1940
Subject(s) - monetary policy , spillover effect , surprise , asset (computer security) , economics , monetary economics , quantitative easing , event study , forward guidance , central bank , inflation targeting , international economics , macroeconomics , credit channel , geography , psychology , social psychology , context (archaeology) , computer security , archaeology , computer science
Many of the studies on the unconventional monetary policy spillover effects concentrated primarily on the policy announcements of the U.S. Federal Reserve. Using a time series approach, with dummies in the event study framework, this study estimates the monetary policy spillover effects of the unconventional monetary policy announcements of the central banks of four major economic regions: the United States, the United Kingdom, European Central bank, and Japan on the asset prices in India. In addition to that, this study estimates the asymmetry in the responses to positive and negative surprise announcements. The study reveals that unconventional monetary surprises do not have any significant impact on the asset prices in India in a narrow time window.