Monetary Policy and its Transmission in a Globalised World

71 Pages Posted: 13 May 2020

See all articles by Michele Ca' Zorzi

Michele Ca' Zorzi

European Central Bank (ECB)

Luca Dedola

Bank of Italy; European Central Bank (ECB)

Georgios Georgiadis

European Central Bank (ECB)

Marek Jarocinski

European Central Bank (ECB)

Livio Stracca

European Central Bank (ECB)

Georg Strasser

European Central Bank (ECB) - Directorate General Research

Date Written: May, 2020

Abstract

This paper estimates and compares the international transmission of European Central Bank (ECB) and Federal Reserve System monetary policy in a unified and methodologically consistent framework. It identifies pure monetary policy shocks by purging them of the bias stemming from contemporaneous central bank information effects. The results suggest that there is a hierarchy in the global spillovers from ECB and Federal Reserve monetary policy: while the spillovers to consumer prices are relatively small in both directions, Federal Reserve monetary policy shocks have a larger impact on euro area financial markets and real activity. Federal Reserve monetary policy also has a significantly larger impact than ECB monetary policy on real and financial variables in the rest of the world.

Keywords: international monetary policy coordination, international shock transmission, monetary policy shocks, monetary policy spillovers

JEL Classification: E44, E52, F3, E58, F42

Suggested Citation

Ca' Zorzi, Michele and Dedola, Luca and Georgiadis, Georgios and Jarocinski, Marek and Stracca, Livio and Strasser, Georg H., Monetary Policy and its Transmission in a Globalised World (May, 2020). ECB Working Paper No. 20202407, Available at SSRN: https://ssrn.com/abstract=3599928

Michele Ca' Zorzi (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Luca Dedola

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Georgios Georgiadis

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Marek Jarocinski

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 6414 (Phone)

Livio Stracca

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

Georg H. Strasser

European Central Bank (ECB) - Directorate General Research ( email )

Sonnemannstra├če 20
Frankfurt am Main, 60314
Germany
+496913441416 (Phone)

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