Template-Type: ReDIF-Paper 1.0
Author-Name: Ariadne Checo
Author-X-Name-First: Ariadne
Author-X-Name-Last: Checo
Author-Name: Francesco Grigoli
Author-X-Name-First: Francesco
Author-X-Name-Last: Grigoli
Author-Name: Damiano Sandri
Author-X-Name-First: Damiano
Author-X-Name-Last: Sandri
Title: Monetary Policy Transmission in Emerging Markets: Proverbial Concerns, Novel Evidence
Abstract: Doubts persist about the effectiveness of monetary transmission in emerging markets, but the empirical evidence is scarce due to challenges in identifying monetary policy shocks. In this paper, we construct new monetary policy shocks using novel analysts' forecasts of policy rate decisions. Crucial for identification, analysts can update forecasts up to the policy meeting, allowing them to incorporate any relevant data release. Using these shocks, we show that monetary transmission in emerging markets operates similarly to advanced economies. Monetary tightening leads to a persistent increase in bond yields, a contraction in real activity, and a delayed reduction in inflation. Furthermore, monetary policy impacts leveraged firms more strongly.
Creation-Date: 2024-03
File-URL: https://www.bis.org/publ/work1170.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1170.htm
File-Format: text/html
Number: 1170
Keywords: monetary policy shocks, financial markets, emerging markets
Classification-JEL: E50, E52
Handle: RePEc:bis:biswps:1170