Spillovers of US Monetary Policy on Emerging Market Equities, Currencies, and Energy Stocks

Thiraviyam, Selvamalai (2026) Spillovers of US Monetary Policy on Emerging Market Equities, Currencies, and Energy Stocks. Doctoral thesis, University of East Anglia.

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Abstract

This research investigates the effects of US monetary policy shifts and dollar movements on financial markets in both the US and Emerging Market Economies (EMEs).

The first paper analyses the impact of local and US interest rate levels and volatilities on EME stock markets using a multiplicative GARCH(1,1) model. Results indicate: (i) local and US interest rates often exert opposite effects on returns; (ii) stock return volatility is more sensitive to local rate changes than to US rate changes; and (iii) US interest rate volatility has asymmetric and stronger effects on stock market volatility compared to local volatility.

The second paper examines the dynamics between US dollar appreciation and EME currency depreciation using DCC-GARCH(1,1) and Cross-Quantilogram (CQ). Findings show: (i) the conditional correlation between dollar appreciation and EME depreciation is positive and time-varying; and (ii) CQ results vary with internal and external shocks (e.g., COVID-19, currency crises), as well as time lags and quantile choices.

The third paper investigates the responses of clean and brown energy stock markets to a shock in both short-run and long-run US monetary policy rates using Structural VAR and Local Projections. A shock in short-term policy rates generates immediate and statistically significant positive effects on both markets. In contrast, a shock in long-term policy rates produces negative effects, with the clean energy market more adversely affected. This suggests that high energy transition costs amplify sensitivity to long-term interest rates.

Overall, the findings provide important insights for investors and policymakers in the US and EMEs on managing financial stability and supporting sustainable market development.

Item Type:	Thesis (Doctoral)
Faculty \ School:	Faculty of Social Sciences > School of Economics
Depositing User:	Amy Millward-Doherty
Date Deposited:	27 Aug 2026 09:40
Last Modified:	27 Aug 2026 09:40
URI:	https://ueaeprints.uea.ac.uk/id/eprint/104348
DOI:

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