美国货币政策和国际风险溢出效应

U.S. MONETARY POLICY AND INTERNATIONAL RISK SPILLOVERS

作者：ṢebnemKalemli-Özcan

I show that monetary policy divergence vis-a-vis the U.S. has larger spillover effects in emergingmarkets than advanced economies. The monetary policy of the U.S. affects domestic credit costsin other countries through its effect on global investors’ risk perceptions. Capital flows in and outof emerging market economies are particularly sensitive to fluctuations in such risk perceptionsand have a direct effect on local credit spreads. Domestic monetary policy is ineffective inmitigating this effect as the pass-through of policy rate changes into short-term interest rates isimperfect. This disconnect between short rates and monetary policy rates is explained by changesin risk perceptions. A key policy implication of my findings is that emerging markets’ monetarypolicy actions designed to limit exchange rate volatility can be counterproductive.
我表明，相对于美国，货币政策的分歧对新兴市场的溢出效应大于发达经济体。美国的货币政策通过影响全球投资者的风险认知而影响其他国家的国内信贷成本。流入和流出新兴市场经济体的资本对这种风险感知的波动特别敏感，并直接影响当地信贷利差。国内货币政策无法有效缓解这种影响，因为政策利率转换为短期利率的方法并不完善。空头利率与货币政策利率之间的这种脱节是由风险观念的变化来解释的。