美国货币政策对中东和中亚的影响：冲击、基本面和传播（英）

IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2024JANU.S. Monetary Policy Spillovers to Middle East and Central Asia: Shocks, Fundamentals, and Propagations Giovanni Ugazio and Weining Xin WP24/14* We would like to thank Nordine Abidi, Abdullah AlHassan, Michal Andrle, Vassili Bazinas, Lukas Boer, Asmaa El-Ganainy, Fozan Fareed, Gianluigi Ferrucci, Thomas Krone, Fei Liu, Amine Mati, Zeine Zeidane, Tianxiao Zhang, andparticipants at the Middle East and Central Asia and Asia Pacific departmental seminars for helpful suggestions. Allerrors are our own.© 2024 International Monetary Fund WP/24/14IMF Working Paper Middle East and Central Asia Department U.S. Monetary Policy Spillovers to Middle East and Central Asia: Shocks, Fundamentals and Propagations Prepared by Giovanni Ugazio and Weining Xin* Authorized for distribution by Amine Mati January 2024IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: We empirically examine U.S. monetary policy spillovers to the Middle East and Central Asia (ME & CA) region by decomposing U.S. interest rates changes into two orthogonal shocks: the pure monetary policy shock and the information news shock. Using a sample of 16 ME & CA countries, we find that when interest rates increase, the two shocks have opposite spillovers on the region. Tightening driven by contractionary monetary policy shocks hinders growth, while tightening driven by positive information news shocks boosts growth despite higher interest rates. Countries with weaker fundamentals face more negative spillovers from contractionary monetary policy shocks but may sometimes benefit more from positive information news shocks. Moreover, high oil prices mitigate both spillovers for oil exporters while global risk appetite amplifies both spillovers. Finally, we estimate 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 weaker fundamentals being hit the most. RECOMMENDED CITATION: Ugazio, Giovanni, and Weining Xin (2024), “U.S. Monetary Policy Spillovers to Middle East and Central Asia: Shocks, Fundamentals and Propagations”, IMF Working Paper 24/14JEL Classification Numbers: F4; E5; C3. Keywords: U.S. monetary policy; spillovers; fundamentals; oil prices Author’s E-Mail Address: GUgazio@imf.org and WXin@imf.org WORKING PAPERS U.S. Monetary Policy Spillovers to Middle East and Central Asia: Shocks, Fundamentals, and Propa