High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks

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Tác giả: Michael Pfarrhofer, Anna Stelzer

Ngôn ngữ: eng

Ký hiệu phân loại: 332.46 Monetary policy

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Báo, Tạp chí

ID: 163691

 Comment: JEL: C32, E52, E58, F42
  Keywords: Bayesian panel vector autoregression, structural identification, external instruments, factor model, central bank informationWe explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables across several major economies to address both static and dynamic spillovers. To identify structural shocks, we introduce a novel approach that combines external instruments with heteroskedasticity-based identification and sign restrictions. Our results suggest significant spillovers from European Central Bank and Federal Reserve policies to each other's economies, global aggregates, and other countries. These effects are more pronounced for central bank information shocks than for pure monetary policy shocks, and the dominance of the US in the global economy is reflected in our findings.
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