Active driver or passive victim : on the role of international monetary policy transmission / Annika Camehl, Gregor von Schweinitz
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Discovery
1833068580
URN
urn:nbn:de:gbv:3:2-937482
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, January 2023
Umfang
1 Online-Ressource (III, 36 Seiten, 2,43 MB) : Diagramme
Ausgabevermerk
Sprache
eng
Anmerkungen
Literaturverzeichnis: Seite 32-36
Inhaltliche Zusammenfassung
We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply equations in a Bayesian structural panel vector autoregressive model. We formulate prior beliefs on magnitudes and signs of contemporaneous structural coefficients (i.e., (semi-)elasticities), based on a standard theoretical multi-country open economy model from the literature. Our findings show that interest rate spillovers occur via an aggregated demand channel. Unexpected monetary tightening causes modest declines in most foreign interest rates, while demand and supply shocks result in increased foreign interest rates. Our results support that central banks respond to changes in the domestic macroeconomic environment induced by domestic or foreign shocks rather than directly reacting to foreign shocks. Spillovers are quantitatively stronger for shocks originating in economically large areas with strong trade linkages.
Schriftenreihe
IWH-Diskussionspapiere ; 2023, no. 3 (January 2023) ppn:837399270