International Monetary Policy Spillovers
Open Economies Review, Forthcoming
30 Pages Posted: 29 Jul 2018
Date Written: June 30, 2018
This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzerland, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the effects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically significant spillover effects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically significant effect on the monetary policy rate of each of the other countries.
Keywords: Monetary Policy Shocks; Monetary Policy Spillovers; Structural GARCH-in-Mean VAR
JEL Classification: E52; E58; F41; F42
Suggested Citation: Suggested Citation