Title

Monetary policy co-movement and spillover of shocks among BRICS economies

Document Type

Article

Publication Date

9-2-2019

Abstract

The 2008 global financial crisis has revealed the possibility of cross-border spillover effects of domestic Monetary Policy (MP) on financial stability and capital flows around the world. Recognizing these facts, Central Banks in Advanced Economies (AE) have undertaken simultaneous Monetary Policy actions to minimize collateral damage and contain financial risks. In this paper, we investigate whether a similar spillover and co-movement of Monetary Policy exist among BRICS countries. Specifically, we study the transmission of monetary policy shocks among the member countries using monthly data. We use the method of Principal Component Analysis (PCA) and Vector Autoregression Model to identify possible dynamic relationships. Our results indicate possible co-movement in interest rates and significant cross-border transmission of monetary policy shocks among the BRICS countries.

DOI

10.1080/13504851.2018.1545072

Publication Title

Applied Economics Letters

Volume Number

26

Issue Number

15

First Page

1253

Last Page

1263

ISSN

13504851

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