The spillover of shadow interest rate to the excess returns in emerging markets

The spillover of shadow interest rate to the excess returns in emerging markets

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Purpose - This study focuses on the monetary policy transmission of the U.S. on the excess returns in emerging markets by estimating the impacts of changes in the shadow interest rate in the U.S. on the Barclays Benchmark EM FX Trend Excess Return Index (FXERI) and the Barclays Cross Asset Trend In...

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Bibliographic Details
Main Authors: Oguzhan Ozcelebi, Mehmet Tevfik Izgi
Format: Article
Language:English
Published: Universitas Islam Indonesia 2021-10-01
Series:Economic Journal of Emerging Markets
Subjects:
shadow interest rates
excess returns
emerging countries
VARMA-BEKK-AGARCH model
Online Access:http://journal.uii.ac.id/JEP/article/view/17176

Internet

http://journal.uii.ac.id/JEP/article/view/17176

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