Making Waves: Monetary Policy and its Asymmetric Spillovers in a Globalised World

44 Pages Posted: 14 May 2021

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 2021

Abstract

This paper compares the international transmission of European Central Bank (ECB) and Federal Reserve System (Fed) monetary policy in a unified framework, identifying pure monetary policy shocks purged of bias from central bank information effects. The estimates reveal a stark asymmetry in the global spillovers from ECB and Fed monetary policy: Fed monetary policy shocks have a significant impact on euro area financial conditions and real activity, while ECB monetary policy shocks do not have a similar effect on the United States (US). Fed monetary policy shocks also affect real and financial variables in the rest of the world more than ECB monetary policy shocks.

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

Suggested Citation

Ca' Zorzi, Michele and Dedola, Luca and Georgiadis, Georgios and Jarocinski, Marek and Stracca, Livio and Strasser, Georg H., Making Waves: Monetary Policy and its Asymmetric Spillovers in a Globalised World (May 2021). CEPR Discussion Paper No. DP16134, Available at SSRN: https://ssrn.com/abstract=3846247

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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