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1 janvier 2021
- handle: 10670/1.1w95a5
- hal: hal-03373749
info:eu-repo/semantics/OpenAccess
Mots-clés
monetary policy trilemma exchange rates monetary policy spillovers E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit F - International Economics/F.F3 - International Finance F - International Economics/F.F4 - Macroeconomic Aspects of International Trade and Finance C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple VariablesSujets proches
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Riccardo Degasperi et al., « The global transmission of U.S. monetary policy », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.1w95a5
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Résumé
We quantify global US monetary policy spillovers by employing a high-frequency identification and big data techniques, in conjunction with a large harmonised dataset covering 30 economies. We report three novel stylised facts. First, a US monetary policy tightening has large contractionary effects onto both advanced and emerging economies. Second, flexible exchange rates cannot fully insulate domestic economies, due to movements in risk premia that limit central banks’ ability to control the yield curve. Third, financial channels dominate over demand and exchange rate channels in the transmission to real variables, while the transmission via oil and commodity prices determines nominal spillovers.