Spillover Effects of US Monetary Policy on Asian Countries

Ever since the global financial crises of 1997 and 2008, the recurrence of crises ledus evaluate the spillover effects of US monetary policy on Asian economies (Jan. 2005 - June 2017). This study makes precise use of various monetary policies (interest rate, money supply, exchange rate, and capital account) from the United States to different blocs (ASEAN, South Asian economies, and North Asia) and their spillover effects on the corresponding variables. Panel Vector Autoregression (PVAR) was applied in the cases. The findings are as follows. First, USD exchange rate volatility affects all Asian economies, ASEAN in particular; however, it doesn’t hold for the North Asian economies. For the exchange rate via SDR standard, only the South Asian countries are subjected to dollar volatility. The Fed money supply is ranked second in spillover effects, especially for the South Asian economies. The Fed’s policy interest exerts an impact on ASEAN, Northeast Asia, and South Asian economies. However, the US capital account movement only affects the latter two. The reasons behind the various intensities of spillover effects are interpreted accordingly. Regional location and size of economy might serve as an explanation for the spillover.