International Monetary Policy Spillovers

Open Economies Review, Forthcoming

30 Pages Posted: 29 Jul 2018

See all articles by Dennis Nsafoah

Dennis Nsafoah

University of Calgary

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: June 30, 2018

Abstract

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

Nsafoah, Dennis and Serletis, Apostolos, International Monetary Policy Spillovers (June 30, 2018). Open Economies Review, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3210321 or http://dx.doi.org/10.2139/ssrn.3210321

Dennis Nsafoah

University of Calgary ( email )

University Drive
Calgary, Alberta T2N 1N4
Canada

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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