Crespo Cuaresma, Jesus, Doppelhofer, Gernot, Feldkircher, Martin, Huber, Florian. 2019. Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model. Journal of the Royal Statistical Society: Series A (Statistics in Society). 182 831-861.
BibTeX
Abstract
This paper develops a global vector autoregressive (GVAR) model with time-varying parameters and stochastic volatility to analyze whether international spillovers of US monetary policy have changed over time. The proposed model allows assessing whether coefficients evolve gradually over time or are better characterized by infrequent, but large breaks. Our findings point towards pronounced changes in the international transmission of US monetary policy throughout the sample period, especially so for the reaction of international output, equity prices, and exchange rates against the US dollar. In general, the strength of spillovers has weakened in the aftermath of the global financial crisis. Using simple panel regressions, we link the variation in international responses to measures of trade and financial globalization. We find that a broad trade base and a high degree of financial integration with the world economy tend to cushion risks stemming from a foreign shock such as a US monetary policy tightening, whereas a reduction in trade barriers and/or a liberalization of the capital account increase these risks.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of the Royal Statistical Society: Series A (Statistics in Society) |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, VW-B, WH-B |
Language | English |
Title | Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model |
Volume | 182 |
Year | 2019 |
Page from | 831 |
Page to | 861 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.2139/ssrn.3309699 |
Open Access | N |
Associations
- People
- Crespo Cuaresma, Jesus (Details)
- External
- Doppelhofer, Gernot (NHH, Norway)
- Feldkircher, Martin (OeNB, Austria)
- Huber, Florian (University of Salzburg, Austria)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research Institute for Human Capital and Development
FI
(Former organization)
- Competence Center for Sustainability Transformation and Responsibility WE (Details)
- Research Institute for Cryptoeconomics FI (Details)