ItemArticle

The impact of unconventional US monetary policy shock on emerging bond markets: A comprehensive assessment of global transmission channels

Title
The impact of unconventional US monetary policy shock on emerging bond markets: A comprehensive assessment of global transmission channels
Creator
Panigrahi, Swarupa Ranjan; Suresha, B.; Nanda, Sudhansu Sekhar; Biswal, Biplab Kumar
Description
Extensive research has been conducted on the global effects of the US unconventional monetary policy shock on capital flows in emerging markets. However, there is limited empirical evidence on the transmission channels of capital flows in emerging bond markets. This study examines it by analysing capital flows across 45 emerging bond markets from 2009 to 2023. Contemporaneous shock transmission is examined using the contemporaneous impact matrix, and dynamic shock transmission is assessed using the impulse response function of the structural vector autoregression (SVAR) model. All variables in this study are standardised to account for differences in scale within the model. The pairwise correlation coeffcient matrix indicates that multicollinearity is not a concern for parameter estimates in this model. The ADF-Fisher Chi-square unit root test result reveals that all variables are stationary in this model. The contemporaneous coeffcient matrix results indicate that changes in the US term spread serve as the contemporaneous transmission channel through which US Treasury bond purchase and US MBS purchase shocks positively affect capital flows in emerging bond markets. The impulse response function indicates that changes in the global financial cycle serve as a dynamic transmission channel through which US MBS purchase shocks affect capital flows in emerging bond markets. Moreover, changes in the US mortgage spread serve as the dynamic transmission channel through which US Treasury bond purchases and US MBS purchases affect capital flows in emerging bond markets. Swarupa Ranjan Panigrahi, Suresha B., Sudhansu Sekhar Nanda, Biplab Kumar Biswal, 2025.
Source
Investment Management and Financial Innovations;Volume;22;Issue;4;pp.405-420
Date
01-01-2025
Publisher
LLC CPC Business Perspectives
Subject
global financial cycle; US MBS; US mortgage spread; US term spread; US Treasury bond
Coverage
Panigrahi S.R., School of Business and Management, Christ University, India; Suresha B., School of Business and Management, Christ University, India; Nanda S.S., Faculty of Management Studies, Sri Sri University, India; Biswal B.K., Faculty of Management Studies, Sri Sri University, India
Rights
All Open Access; Gold Open Access
Relation
ISSN: 18104967;
Format
online
Language
English
Type
Article

Citation

Panigrahi, Swarupa Ranjan; Suresha, B.; Nanda, Sudhansu Sekhar; Biswal, Biplab Kumar, “The impact of unconventional US monetary policy shock on emerging bond markets: A comprehensive assessment of global transmission channels,” CHRIST (Deemed To Be University) Institutional Repository, accessed June 18, 2026, https://archives.christuniversity.in/items/show/23375.

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