What explains international interest rate co-movement? / Annika Camehl, Gregor von Schweinitz ; editor: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association
Loading...
Download1.71 MB
What explains international interest rate co-movement?
Discovery
1858916488
URN
urn:nbn:de:gbv:3:2-987483
DOI
ISBN
ISSN
Koordinaten
Skalierung
dc.contributor.contributor
Other contributor
Publication history
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, [September 2023?]
Content
1 Online-Ressource (III, 37 Seiten, 1,71 MB) : Diagramme
Edition
This version: September 4, 2023
Language
eng
Comment
Abstract
We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most foreign interest rates, while expansionary local supply and demand shocks increase them. To disentangle determinants of international interest rate co-movement, we use a Bayesian structural panel vector autoregressive model accounting for latent global supply and demand shocks. We identify country-specific structural shocks via informative prior distributions based on a standard theoretical multi-country open economy model.
Series
IWH-Diskussionspapiere ; 2023, no. 3 (January 2023) [rev.] ppn:837399270