Monetary Policy Shock Transmission in Emerging Markets

Abstract

The mortgage financial crisis that sooner converted into a global crisis affirms the evidence of the contagion. This study attempts to study the impact of monetary policy shock arising from the United States on the economy of emerging markets in a time-varying context. I have employed the TVP-VAR model with stochastic volatility to study this objective. The results indicate the significant impact of the shock on the growth and price of emerging markets. This study provides a unique inside into the studies on emerging markets in a way by treating each country as a separate entity and then observing the country-specific impact of the shocks arising from United States monetary policy upon the growth and inflation of developing countries. This study benefits the economy watcher and gives a deep inside into the subject matter from different dimensions.