We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic “financial accelerator,” leading to large cross-border spillovers of U.S. monetary policy shocks. The model implies a link between uncovered interest parity violations and local credit spreads, a prediction we show the data strongly supports.

中文翻译：

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不完善金融市场的汇率动态和货币溢出

我们开发了一个定量模型，该模型考虑了国内和国际金融市场的不完善性，该模型对美国货币政策对新兴市场（EM）产生强烈影响。金融缺陷阻碍了当地新兴市场贷款和借款利率之间以及当地货币和美元借款利率之间的套利。金融健康与外部条件之间的负反馈效应放大了国内“金融加速器”，导致美国货币政策冲击产生大规模跨境溢出。该模型暗示了未发现的利率平价违规行为与当地信用利差之间的联系，我们的数据强烈支持这一预测。