| Title |
Spillovers from US monetary policy: evidence from a time varying parameter global vector autoregressive model / |
| Authors |
Crespo Cuaresma, Jesus ; Doppelhofer, Gernot ; Feldkircher, Martin ; Huber, Florian |
| DOI |
10.1111/rssa.12439 |
| Full Text |
|
| Is Part of |
Journal of the Royal Statistical Society. Series A: statistics in society.. Hoboken : John Wiley & Sons Ltd. 2019, vol. 182, no. 3, p. 831-861.. ISSN 0964-1998. eISSN 1467-985X |
| Keywords [eng] |
globalization ; mixture innovation models ; spillovers ; zero lower bound |
| Abstract [eng] |
. The paper develops a global vector auto-regressive model with time varying parameters and stochastic volatility to analyse whether international spillovers of US monetary policy have changed over time. The model proposed enables us to assess whether coefficients evolve gradually over time or are better characterized by infrequent, but large, breaks. Our findings point towards pronounced changes in the international transmission of US monetary policy throughout the sample period, especially so for the reaction of international output, equity prices and exchange rates against the US dollar. In general, the strength of spillovers has weakened in the aftermath of the global financial crisis. Using simple panel regressions, we link the variation in international responses to measures of trade and financial globalization. We find that a broad trade base and a high degree of financial integration with the world economy tend to cushion risks stemming from a foreign shock such as US tightening of monetary policy, whereas a reduction in trade barriers and/or a liberalization of the capital account increase these risks. |
| Published |
Hoboken : John Wiley & Sons Ltd |
| Type |
Journal article |
| Language |
English |
| Publication date |
2019 |
