Quotation 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.


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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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Publication's profile

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
Institute for Macroeconomics IN (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)
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