Monetary Policy Across Space and Time

33 Pages Posted: 2 Oct 2018 Last revised: 21 Feb 2019

See all articles by Laura Liu

Laura Liu

Board of Governors of the Federal Reserve System

Christian Matthes

Federal Reserve Banks - Federal Reserve Bank of Richmond

Katerina Petrova

University of St Andrews

Date Written: 2018-08-13

Abstract

In this paper we ask two questions: (i) is the conduct of monetary policy stable across time and similar across major economies, and (ii) do policy decisions of major central banks have international spillover effects. To address these questions, we build on recent semi-parametric advances in time-varying parameter models that allow us to increase the VAR dimension and to jointly model three advanced economies (US, UK, and the Euro Area). In order to study policy spillovers, we jointly identify three economy-specific monetary policy shocks using a combination of sign and magnitude restrictions.

Keywords: Monetary policy spillovers, time-varying parameters, changing volatility

JEL Classification: C54, E30, E58

Suggested Citation

Liu, Laura and Matthes, Christian and Petrova, Katerina, Monetary Policy Across Space and Time (2018-08-13). FRB Richmond Working Paper No. 18-14. Available at SSRN: https://ssrn.com/abstract=3258965

Laura Liu (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Christian Matthes

Federal Reserve Banks - Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

Katerina Petrova

University of St Andrews ( email )

The Gateway
North Haugh
St Andrews, Fife KY16 9RJ
United Kingdom

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