IMF-美國(guó)貨幣政策對(duì)中東和中亞的影響：沖擊、基本面和傳播（英）-2024.1

U.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsGiovanniUgazioandWeiningXinWP24/14IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2024JAN?2024InternationalMonetaryFundWP/24/14IMFWorkingPaperMiddleEastandCentralAsiaDepartmentU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,FundamentalsandPropagationsPreparedbyGiovanniUgazioandWeiningXin*Authorizedfordistributionby

AmineMatiJanuary2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:

We

empirically

examine

U.S.

monetary

policy

spillovers

to

the

Middle

East

and

Central

Asia

(ME&CA)region

bydecomposingU.S.interestrateschangesintotwoorthogonalshocks:thepuremonetarypolicyshock

and

the

information

news

shock.

Using

a

sample

of

16

ME

&

CA

countries,

we

find

that

when

interest

ratesincrease,

the

two

shocks

have

opposite

spillovers

on

the

region.

Tightening

driven

by

contractionary

monetarypolicyshockshinders

growth,

while

tightening

driven

bypositiveinformation

news

shocksboosts

growthdespitehigher

interest

rates.

Countries

with

weaker

fundamentals

face

more

negative

spillovers

from

contractionarymonetary

policy

shocks

but

may

sometimes

benefit

more

from

positive

information

news

shocks.

Moreover,

highoil

prices

mitigate

both

spillovers

for

oil

exporters

while

global

risk

appetite

amplifies

both

spillovers.

Finally,

weestimate

a

large

degree

of

heterogeneity

in

the

impact

of

the

2022

U.S.tightening

cycle

on

ME&

CA

countries,with

oil

exporters

with

stronger

fundamentals

withstanding

well

the

shock

and

oil

importers

with

weakerfundamentals

beinghitthemost.RECOMMENDEDCITATION:

Ugazio,Giovanni,andWeiningXin(2024),“U.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,FundamentalsandPropagations”,IMFWorkingPaper24/14JELClassificationNumbers:Keywords:F4;E5;C3.U.S.monetarypolicy;spillovers;fundamentals;oilpricesGUgazio@

andWXin@Author’sE-MailAddress:*WewouldliketothankNordineAbidi,AbdullahAlHassan,

MichalAndrle,VassiliBazinas,LukasBoer,AsmaaEl-Ganainy,FozanFareed,GianluigiFerrucci,

ThomasKrone,FeiLiu,AmineMati,ZeineZeidane,TianxiaoZhang,andparticipantsattheMiddleEastandCentralAsiaandAsiaPacificdepartmentalseminarsforhelpfulsuggestions.Allerrorsareourown.WORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEast

andCentralAsia:Shocks,Fundamentals,andPropagationsPreparedbyGiovanniUgazioandWeiningXinIMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsContents1.Introduction

32.Literaturereview73.DataandMethodology

83.1Monetarypolicyshocksandinformationnewsshocks

83.2Econometricframework104.BaselineResultsfortheAggregateSample125.TheRoleofCountry-SpecificandGlobalFactors

145.1.Theroleofcountry-specificfundamentals145.2.Theroleofglobalenvironment

166.The2022TighteningEffects187.Conclusion

20References

21AppendixI.ShocksSeriesPlotandSummaryStatisticsTable

24AppendixII.

TransmissionChannels

throughExpenditureComponentsofGDP26AppendixIII.OtherMacro-FinancialImpactsofU.S.MonetaryPolicyandInformationNewsShocks

28AppendixIV:RoleofCountry-SpecificandGlobalFactorsinDeterminingSpilloverstoSovereignSpreads

30AppendixV:RoleofCapitalAccountOpennessandExchangeRateRegime33BOXESNotableoffiguresentriesfound.FIGURESNotableoffiguresentriesfound.TABLESNotableoffiguresentriesfound.INTERNATIONALMONETARYFUND2IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagations1.IntroductionGlobalfinancialconditionshaveremainedveryfavorableovermostofthepastdecade,drivenbythe

unprecedented

accommodative

monetary

policy

stance

in

the

U.S.

and

other

advancedeconomies.

Monetary

support

was

further

extended

in

2020

to

mitigate

the

macroeconomic

impactof

the

COVID-19

pandemic

on

the

global

economy.

The

ensuing

post-pandemic

recovery

of

theU.S.

economy

combined

with

external

factors

led

to

rapidly

rising

inflation,

which

reacheddecadeshighsduring2022.

TheU.S.

FederalReserve

(Fed)respondedwithanincreasinglymoreaggressive

monetary

policy

tightening

and

raised

interest

rates

by

425

basis

points

in

sevenconsecutive

moves

in

2022,

unwinding

its

accommodative

monetary

policy

and

leading

to

sharplytighterglobalfinancialconditionsespeciallyinemergingmarkets(EMs).Middle

East

andCentral

Asia(ME&CA)countrieshaveraisedtheir

interestratesagainstthe

backdrop

of

the

U.S.

monetary

tightening—in

both

oil

exporters

and

importers—leading

totighter

domestic

financial

conditions,

while

sovereign

bond

issuances

on

international

capitalmarkets

plungedbymorethan

80percentinoilimportersand

50percentinoilexporters—whichcould

also

be

due

to

the

elevated

oil

prices

and

thus

smaller

financing

needs—in

2022

comparedto2021,reflectingtheheightenedfinancingchallengesamidrisinginterestrates(Figure1).Figure1:PolicyratesanddebtissuancesinMiddleEastandCentralAsiaPolicyratesSovereignbondissuance(US$billion)(Percentagepoints)Notes:

Oil

exporters

include

Algeria

(no

data

for

bond

issuance),

Bahrain,

Kazakhstan,

Kuwait,

Oman,

Qatar,

SaudiArabia,

and

United

Arab

Emirates,

and

oil

importers

include

including

Armenia,

Egypt,

Georgia,

Jordan,

Lebanon,Morocco,Pakistan,andTunisia.INTERNATIONALMONETARYFUND3IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsU.S.

monetary

policy

announcements

made

by

the

Federal

Open

Market

Committee(FOMC)

embed

information

about

the

FOMC’s

assessment

and

forecast

of

the

U.S.

economicconditions.In

theliterature,thisisreferredtoasthe“Fedinformationeffect”(RomerandRomer,2000;JarocinskiandKaradi,2018;andNakamuraandSteinsson,2018).Accordingly,changestoU.S.

monetary

policy

stance

are

driven

by

the

interplay

of

two

underlying

shocks:

(1)

the

puremonetary

policy

shock,

which

captures

unexpected

monetary

policy

stance

shifts

in

the

U.S.

thatare

orthogonal

to

the

economic

outlook

and,

as

such,

contains

no

“Fed

information

effect”;

and

(2)the

information

news

shock,

which

embeds

the

Fed

information

effect

and

are

driven

by

changestotheeconomicoutlook.This

shock

decomposition

is

central

to

identifying

spillovers

from

U.S.

monetarytightening,

as

the

underlying

interpretation

of

the

reason

for

the

tightening

has

differentimplications

for

the

world

economy.

Namely,

while

a

tightening

driven

by

contractionarymonetary

policy

shocks

generates

adverse

spillovers

to

the

rest

of

the

world,

a

tightening

drivenby

positive

information

news

shocks

in

some

cases

generates

positive

spillovers,

because

thebackdropofabrighterU.S.outlookmayreduceuncertaintyandboostsentiment.In

this

paper,

we

analyze

the

regional

impact

of

past

U.S.

monetary

tightening

episodes

ontheME

&CAregionandusetheresults

toestimatethespilloversfrom

the2022tighteningcycle.Based

on

a

sample

of

16

ME

&

CA

countries

consisting

of

both

oil

exporters

and

importers,

wetrytoanswerfourkeyquestions(Figure2):???Whatarethespilloversof

aU.S.monetarytighteningtotheME&CAregion?Dothespilloversdependonwhichtypeofshockdrivesthetightening?Docountries’fundamentalsandotherfactorsplayaroleindeterminingthe

sizeandpotentiallythesignofthespillovers??Whatistheestimatedimpactofthe2022U.S.monetarytighteningontheME&CAregion?IsthereheterogeneityacrossME&CAcountries?We

find

that

growth

spillovers

of

a

U.S.

monetary

policy

tightening

can

differ

markedlyfortheME&CAregiondependingonwhichshockdrivesthetighteningdecision.Contractionary

monetary

policy

shocks

generally

have

a

negative

impact

on

growth

byreducing

consumption

and

exports,

although

not

statistically

significant

until

three

years

later.However,

after

accounting

for

country-specific

fundamentals,

we

find

that

the

size

and

timing

ofthe

negative

spillovers

varies.

Countries

with

weaker

fundamentals—lower

foreign

exchangereserves,

higher

external

debt,

weaker

fiscal

balances,

and

higher

public

debt—generally

see

alarger

and

more

immediate

growth

declines

in

response

to

the

shock

compared

to

countries

withstronger

fundamentals.

Moreover,

countries

with

strong

fundamentals

and

ample

buffers

exhibitINTERNATIONALMONETARYFUND4IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsshort-termresilience,

as

theygenerally

do

notexperience

agrowth

decline

in

thesame

yearof

theinitialshocks.On

the

other

hand,

positive

information

news

shocks

have

a

positive

and

statisticallysignificant(afteroneyear)

impacton

growth

intheaggregatesample

byincreasingconsumption,exports,

and

investment,

despite

leading

to

tighter

financial

conditions.

However,

the

strength

ofspecific

country

fundamentals

affects

the

extent

of

growth

boost.

We

find

that

countries

withhigher

foreign

exchange

reserves

and

lower

public

debt

see

larger

positive

spillovers

from

positiveinformation

news

shocks.

However,

lower

external

debt

and

stronger

fiscal

balances

do

not

leadto

a

better

growth

outcome,

indicating

that

countries

with

weaker

fundamentals

may

actuallybenefit

more

from

positive

information

news

shocks

in

some

cases.

This

result

might

be

explainedby

theso-called

“risk-taking

channel”

argument

discussedby

Ciminelli

et

al.(2022),

according

towhich

positive

information

news

shocks

reduce

uncertainty

and

boost

sentiment,

so

that

weakerfundamentalsdonothindercapitalinflows.Since

the

impacts

on

growth

from

the

two

shocks

havedifferent

signs,

one

shock

mayactasamitigator

fortheother

(ifbothhavethesame

sign,suchasinthecase

ofapositiveaggregatedemand

shock)

or

amplifier

for

the

other

(if

they

have

different

signs,

such

as

in

the

case

of

anadverse

supply

shock).

This

result

highlights

the

importance

of

correctly

identifying

the

drivers

ofchangesintheU.S.monetarypolicystancetoexaminespillovers.Turning

to

the

effect

of

the

global

environment

on

our

results,

we

find

that

global

riskappetite1

can

be

an

amplifier

forboth

monetarypolicy

and

information

newsshocks.

Specifically,lower

global

risk

appetite

is

associated

with

larger

negative

spillovers

from

contractionarymonetary

policy

shocks.

On

the

other

hand,

higher

risk

appetite

is

associated

with

larger

positivespillovers

from

positive

information

news

shocks,

further

emphasizing

the

importance

of

the

“risk-takingchannel”inincreasingcapitalflowstotheregiondespitetighterfinancialconditions.Given

the

importance

of

oil

exports

in

the

ME

&

CA

region,

we

investigate

whether

oilprices

play

a

role

in

determining

the

shocks’

impacts

on

oil

exporters.

Unsurprisingly,

we

find

thathigher

oil

prices

improve

oil

exporters’

fundamentals

and,

as

a

result,

cushion

the

negative

impactof

contractionary

monetary

policy

shocks.

The

effect

of

higher

oil

prices

is

however

ambiguousfor

information

news

shocks,

as

the

growth

boost

in

oil

exporters

from

this

type

of

shocks

is

onaverage

higher

when

oil

prices

are

lower.

The

result

is

in

line

with

the

more

general

result

discussedearlier,

stating

that

countries

with

weaker

fundamentals—associated

with

lower

oil

prices—benefitmorefrompositiveinformationnewsshocksundercertaincircumstances.1ProxiedusingtheVIXindex.HigherVIXreflectshigherstockmarketvolatilityand

lowerriskappetite.INTERNATIONALMONETARYFUND5IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsFinally,

we

conclude

the

empirical

analysis

with

the

application

of

a

local

projection

modelto

estimate

the

spillovers

on

the

ME

&

CA

country

sample

of

the

2022

tightening.

First,

thedecomposition

of

the

2022

tightening

shows

that

the

pure

monetary

policy

component

of

the

shockis

slightly

negative,

implying

that

monetary

tightening

has

been

just

below

expectations.

However,information

news

shocks

are

estimated

to

also

be

negative

and

dominate

the

overalldecomposition,

indicating

a

pessimistic

view

on

the

U.S.

economy

outlook.

We

estimate

theaverage

growth

spillover

to

the

ME

&

CA

region

to

be

-0.2

percent

in

2022

and

-0.6

percent

in2023.

However,

within

the

sample,

we

find

large

heterogeneity

of

the

spillovers

driven

bydifferencesincountryfundamentalsandeconomicstructures.Accordingly,

ME

&

CA

oil

importers

with

weak

fundamentals

would

see

the

largestnegative

growth

impact

at

-2.0

percent

for

2023,

while

strong

fundamentals

would

mitigate

thenegative

spillovers

and

would

see

a

smaller

growth

deterioration

of

0.3

percent.

Favorable

oilprices

would

mitigate

negative

spillovers

for

oil

exporters,

which

would

see

a

growth

deteriorationof1.7percentand0.1percentforthosewithweakandstrongfundamentals,respectively.The

rest

of

the

paper

is

organized

as

follows.

Section

2

presents

a

literature

review

andhighlights

the

contributions

of

the

paper,

including

the

analysis

applied

to

the

ME

&

CA

region.Section

3

describes

the

sample,

data

and

empirical

framework

including

the

estimation

ofmonetary

policy

and

information

news

shocks

andtheir

spillovers.

Section

4

presents

thebaselineresults

for

spillovers

to

growth

for

the

aggregate

ME

&

CA

countries

sample

based

on

historicaldata.

Section

5

adds

country-specific

and

global

factors

to

the

discussion

of

results

to

investigateheterogeneity

in

the

spillovers.

Section

6

uses

the

local

projection

approach

to

estimate

the

2022U.S.

tightening

cycle

impact

on

ME

&

CA

countries,

both

on

aggregate

and

for

country

groupings.Section7concludes.INTERNATIONALMONETARYFUND6IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsFigure2.EmpiricalFlowofthePaperResearchQuestionsStepsofEmpiricalAnalysis2.LiteraturereviewThis

paper

relates

to

three

strands

of

literature.

First,

the

literature

on

the

impacts

of

U.S.

monetarypolicy

on

the

rest

of

the

world,

which

found

that

the

U.S.

tightening

is

associated

with

lower

growthor

recessions,

currency

depreciation,

and

tighter

financial

conditions

in

emerging

markets,

forexample,

Eichenbaum

and

Evans

(1995)

and

Uribe

and

Yue

(2006),

Giovanni

and

Shambaugh(2008),

Chen

et

al.

(2014),

Dedola

et

al.

(2017),

Adedeji

et

al,

(2019),

Vicondoa

(2019),

and

morerecently

Saxegaard

et

al.

(2022),

as

well

as

IMF

(2022)—the

latter

studies

the

spillovers

from

anincrease

in

the

nominal

U.S.

interest

rates

to

the

Middle

East

and

Central

Asia.

Our

papercontributes

to

this

literature

by

decomposing

the

increases

in

the

U.S.

interest

rates

into

the

puremonetary

policy

shocks

and

information

news

shocks

and

thus

identifying

and

contrasting

thespilloversfromthesetwoorthogonalshocks.Second,theliteratureon

theFedinformationeffects.Asnotedabove,theFedinformationeffectrefers

tothatFOMCannouncementsnotonlyrevealpuremonetarypolicychangesbutalsothat

the

Fed’s

assessment

and

forecast

of

the

U.S.

economic

conditions,

either

based

on

privateinformation

the

Fed

possesses

or

on

common

information.

This

results

in

the

predictability

ofchanges

in

the

monetary

policy

(see

Romer

&

Romer,

2000;

Campbell

et

al.,

2012;

Miranda-Agrippino,

2016;Nakamura&Steinsson,

2018;Cieslakand

Schrimpf,

2019;Hansen

etal.,2019;Paul,

2019;

Jaroci′nski

and

Karadi,

2020;

Acosta,

2021;

Bauer

and

Swanson,

2021;

Camara,

2021;Ciminelli

et

al.,

2022).

Nakamura

and

Steinsson

(2018)

show

the

Fed

information

effect

on

theINTERNATIONALMONETARYFUND7IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsU.S.

variables

while

Hoek

etal.

(2020),

Camara

(2021),andCiminelli

etal.

(2022)study

theFedinformation

effect

and

compare

it

with

effects

of

monetary

policy

shocks

on

the

rest

of

the

worldin

an

international

setting.

Our

paper

contributes

to

this

literature

by:

first,

extending

the

sampleof

Ciminelli

et

al.

(2022)

to

2022

and

projecting

the

spillovers

of

the

2022

U.S.

tightening

cycle,and

second,

empirically

examining

the

spillovers

to

a

set

of

macro-financial

variables

includingreal

GDP

growth,

sovereign

spreads,

stock

price

indexes,

exchange

rates,

and

portfolio

flows

atdifferentfrequencies(annualormonthly)

focusingontheME&CAregion.The

paper

also

contributes

to

the

literature

on

the

role

of

country

characteristics

ininfluencing

the

impacts

of

the

U.S.

monetary

policy.

Many

find

evidence

that

spillovers

from

U.S.monetary

policy

are

less

severe

for

countries

with

stronger

fundamentals

(see

Chen,

et

al.,

2014;Mishraetal.,2014;Bowman

et

al.,

2015andTakátsandVela,2014;Ahmedetal.,2017;Ahmedet

al.,

2021),

while

some

find

better

fundamentals

did

not

help

shield

countries

from

the

adverseimpacts

during

the

taper

tantrum

(Eichengreen

and

Gupta,

2015

and

Aizenman

et

al.,

2016).

Ourpaper

contributes

to

this

literature

by

investigating

not

only

the

role

of

country-specificfundamentals,

but

also

the

role

of

global

risk

appetite,

the

role

of

high

oil

prices

in

affectingspillovers

to

oil

exporters,

as

well

as

the

role

of

monetary

policy

and

foreign

exchange

rate

regimesindeterminingthemagnitudeofspillovers.3.Dataand

Methodology3.1Monetarypolicyshocks

andinformationnewsshocksFOMCannouncementsofchangesin

theU.S.monetary

policy—includingbothconventionalandunconventional

monetary

policy

tools—reveal

not

only

the

pure

monetary

policy

shocks

whichare

defined

to

be

largely

exogenous,

unpredictable

and

contain

no

significant

Fed

informationeffect,

but

also

the

information

news

shocks

which

contain

the

Fed

information

effect.

To

identifythesetwodifferentshocks,wefollowtheframeworkdevelopedby

Buetal.(2021)andCiminelliet

al.

(2022)

and

re-estimate

the

decomposition

of

daily

changes

in

the

U.S.

benchmark

interestrates

intopuremonetary

policy

shocksand

informationnewsshocks.This

allowsus

to

extend

thesampletothe2022tighteningeventsandthento

applytheresultstotheregionalimpactanalysis.The

framework

employs

a

heteroskedasticity-based,

partial

least

squares

(PLS)

approachto

(i)

identify

pure

monetary

shocks

by

exploiting

the

sensitivity

of

U.S.

zero-coupon

yields

(theoutcome

variables

that

embed

investors’

expectations

and

reactions)

at

different

maturities

toannouncements

following

scheduled

FOMC

meetings—which

is

able

to

capture

periods

ofconventional

and

unconventional

policymaking,

and

(ii)

identify

information

news

shocks

byINTERNATIONALMONETARYFUND8IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationstaking

the

residuals

from

projecting

the

U.S.

benchmark

interest

rates

into

the

monetary

policyshocks,

such

that

information

news

shocks

are

orthogonal

to

monetary

policy

shocks

and

drivenby

observable

economic

conditions

and

the

Fed’s

assessment

and

forecast.2

In

the

first

step,sensitivity

of

the

U.S.

zero-coupon

yields

with

maturities

of

1

to

30

years

to

monetary

policyshocks

are

estimated

by

normalizing

the

unobserved

monetary

policy

shocks

to

having

a

one-to-one

relationship

with

the

benchmark

Treasury

yield—2-year

Treasury

yield

in

our

exercise,3accordingtoequation(1):???,?

=

?

+?

??

+?

,???

?

=

1,

…

,30(1)??2,??,?where??

denotes

the

daily

change

in

the

yield

of

zero-coupon

Treasury

bond

with

maturity

of?,??-year

at

time?

and?

are

proportional

to

the

truesensitivity

of

theU.S.

zero-coupon

yields

to

the?unobservedmonetarypolicyshocks,asshowninBuetal.(2021).In

the

second

step,

the

monetary

policy

shocks

are

recovered

from

cross-sectionalregressionsof

dailychange

in

the

zero-coupon

yields??

on

theestimated

sensitivity?

at

each?,??time?,accordingtoequation(2):???,?

=

?

+?

?

+?

,?(2)???

?

=

1,

…

,

?????,?where

the

estimated

coefficient??is

defined

as

monetary

policy

shocks

at

time?.

The

last

step

is?to

backout

the

information

news

shocks??as

the

residuals

from

regressing

the

benchmark

Treasury?yields

on

the

estimated??,

which

by

construction

are

orthogonal

to

the

monetary

policy

shocks.?The

estimation

of

information

news

shocks

from

taking

the

residuals

assumes

the

outcomevariables

(U.S.

zero-coupon

yields)

are

affected

only

by

these

two

types

of

shocks

and

not

by

othershocks

which

can

be

justified

because

of

the

use

of

daily

change

in

the

outcome

variables

on

theday

of

the

monetary

policy

announcements.

Therefore,

chances

are

low

that

there

are

other

shocksthat

affect

the

outcome

variables

systemically

during

that

day.

By

construction,

contractionary(expansionary)

monetary

policy

shocks

take

positive

(negative)

values,

and

positive

(negative)information

news

shocks

take

positive

(negative)

values.

Estimated

series

of

monetary

policyshocks

??and

information

news

shocks

??are

at

monthly

frequency

based

on

the

FOMC??2

Formoredetails,refertoBuetal.(2021)andCiminellietal.(2022).Ciminellietal.(2022)showthatresultsnormalizingto5-yearand10-yearTreasuryyieldsareeffectivelyidentical.3INTERNATIONALMONETARYFUND9IMFWORKINGPAPERSU.S.MonetaryPolicySpilloverstoMiddleEastandCentralAsia:Shocks,Fundamentals,andPropagationsannouncements

since

January

1994,

with

values

equal

to

zero

in

months

when

there

are

no

FOMCannouncements.The

identification

of

the

two

shocks

from

decomposing

changes

in

monetary

policy

stanceallows

us

to

capture

nuances

in

shifts

of

the

U.S.

monetary

policy

and

distinguish

the

underlyingsources

(Figure

3).

For

example,

monetary

policy

shocks

during

Operation

Twist

arecontractionary

and

take

the

largest

positive

value

in

the

sample,

while

information

news

shocksarenegative

andtakethelargestnegativevalueattheendof2007reflectingtheFed’spessimisticviewontheeconomicoutlookduringtheGlobalFinancialCrisis.4Figure3:MonetaryPolicyand