Fiscal and monetary nexus in emerging market economies
Subtitle: how does debt matter?
By: prepared by Taimur Baig ... [et al.].
Contributors: Baig, Taimur.; International Monetary Fund. Fiscal Affairs Dept.
Series: IMF working paper -- WP/06/184
Publisher: International Monetary Fund, Fiscal Affairs Dept.
Published: 2006
Place of publication: [Washington, D.C.]
Language: eng
Number of pages: 41
Subjects: Debts, Public -- Econometric models.; Debts, Public -- Brazil -- Econometric models.; Debts, Public -- Turkey -- Econometric models.; Debts, Public -- Poland -- Econometric models.; Fiscal policy -- Econometric models.; Fiscal policy -- Brazil -- Econometric models.; Fiscal policy -- Turkey -- Econometric models.; Fiscal policy -- Poland -- Econometric models.; Monetary policy -- Econometric models.; Monetary policy -- Brazil -- Econometric models.; Monetary policy -- Turkey -- Econometric models.; Monetary policy -- Poland -- Econometric models.
Description: This paper examines two main aspects of the interaction between fiscal and monetary policy in emerging market economies. First, it explores the interest rate-inflation relationship in economies with different levels of external and domestic public debt using panel- and cross-section data. The results show that interest rate-inflation elasticity weakens with debt/GDP and external debt/GDP. Second, it utilizes high-frequency data from Brazil, Turkey, and Poland to examine how market-determined variables react to economic news. The results suggest that when vulnerabilities are high, budget news has the most significant impact on country spreads and interest rates, and the impact of monetary policy is weakened.
Notes: Caption title.

"August 2006."

Includes bibliographical references (p. 35-41).

Also available on the World Wide Web.