International Monetary Spillovers

14 Pages Posted: 18 Sep 2015

See all articles by Boris Hofmann

Boris Hofmann

Bank for International Settlements (BIS) - Monetary and Economic Department

Előd Takáts

Bank for International Settlements (BIS)

Date Written: September 13, 2015


Interest rates have moved closely together internationally in recent years, despite business cycles often being at different stages across countries. We investigate whether international monetary spillovers drove this co-movement, ie whether interest rates in core advanced economies drove interest rates elsewhere. Applying a fixed-effects panel regression to 30 emerging market and smaller open advanced economies over the post-2000 period, we find that (i) US short- and long-term interest rates significantly affect the corresponding rates in other economies and (ii) these price spillovers reflect in part policy spillovers, ie that US policy rates affect policy rates in other countries. These monetary spillovers imply that the interest rate declines seen over the last seven years in the United States have had a considerable impact on interest rates elsewhere.

JEL Classification: F33, F36, F42, F65

Suggested Citation

Hofmann, Boris and Takáts, Előd, International Monetary Spillovers (September 13, 2015). BIS Quarterly Review September 2015, Available at SSRN:

Boris Hofmann (Contact Author)

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel

Előd Takáts

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002

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