Open AccessSpillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets
Author(s) -
Shigeki Ono
Publication year - 2018
Publication title -
international journal of economics and finance
Language(s) - English
Resource type - Journals
eISSN - 1916-9728
pISSN - 1916-971X
DOI - 10.5539/ijef.v10n2p14
Subject(s) - monetary policy , economics , monetary economics , quantitative easing , shock (circulatory) , stock (firearms) , market liquidity , interest rate , financial market , federal funds , central bank , finance , medicine , mechanical engineering , engineering
This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.