Advertisement

Open Economies Review

, Volume 30, Issue 1, pp 87–104 | Cite as

International Monetary Policy Spillovers

  • Dennis Nsafoah
  • Apostolos SerletisEmail author
Research Article
  • 119 Downloads

Abstract

This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzerland, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the effects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically significant spillover effects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically significant effect on the monetary policy rate of each of the other countries.

Keywords

Monetary policy shocks Monetary policy spillovers Structural GARCH-in-Mean VAR 

JEL Classification

E52 E58 F41 F42 

References

  1. Cúrdia V, Woodford M (2011) The central-bank balance sheet as an instrument of monetary policy. J Monet Econ 58:54–79CrossRefGoogle Scholar
  2. Dickey DA, Fuller WA (1981) Likelihood ratio tests for autoregressive time series with a unit root. Econometrica 49:1057–1072CrossRefGoogle Scholar
  3. Edwards S (2018) Finding equilibrium: on the relation between exchange rates and monetary policy. Bank for International Settlements, Working Paper No 96Google Scholar
  4. Elder J, Serletis A (2010) Oil price uncertainty. Journal of Money Credit and Banking 42:1137–1159CrossRefGoogle Scholar
  5. Elliot BE, Rothenberg TJ, Stock JH (1996) Efficient tests of the unit root hypothesis. Econometrica 64:13–36Google Scholar
  6. Gai P, Kapadia S (2010) Contagion in financial networks. Proc R Soc A 466:2401–2423CrossRefGoogle Scholar
  7. Hamilton JD (1994) Time series analysis. Princeton University Press, PrincetonGoogle Scholar
  8. Keister T, Martin A, McAndrews J (2008) Divorcing money from monetary policy. Federal Reserve Bank of New York Economic Policy Review 14:41–56Google Scholar
  9. Kilian L, Vigfusson RJ (2011) Are the responses of the U.S. economy asymmetric in energy price increases and decreases? Quant Econ 2:419–453CrossRefGoogle Scholar
  10. Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root. J Econ 54:159–178CrossRefGoogle Scholar
  11. Nicar S (2015) International spillovers from U.S. fiscal policy shocks. Open Econ Rev 26:1081–1097CrossRefGoogle Scholar
  12. Rey H (2016) International channels of transmission of monetary policy and the Mundellian trilemma. IMF Econ Rev 64:6–35CrossRefGoogle Scholar
  13. Pagan A (1984) Econometric issues in the analysis of regressions with generated regressors. Int Econ J 25:221–247Google Scholar
  14. Serletis A, Istiak K, Gogas P (2013) Interest rates, leverage, and money. Open Econ Rev 24:51–78CrossRefGoogle Scholar
  15. Stockhammar P, Österholm P (2017) The impact of U.S. uncertainty shocks on small open economies. Open Econ Rev 28:347–368CrossRefGoogle Scholar
  16. Whitesell W (2006) Interest rate corridors and reserves. J Monet Econ 53:1177–1195CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of CalgaryCalgaryCanada

Personalised recommendations