Camehl, AnnikaSchweinitz, GregorLeibniz-Institut für Wirtschaftsforschung Halle2025-05-302023kxp: 1858916488https://epflicht.bibliothek.uni-halle.de/handle/123456789/129761858916488urn:nbn:de:gbv:3:2-9874833271251We 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.1 Online-Ressource (III, 37 Seiten, 1,71 MB) : Diagrammeenghttp://rightsstatements.org/vocab/InC/1.0/informative priorspanel vector autoregressionsspilloversstructural vector autoregressions330Book