Monetary policy spillovers among five systemic economies: Evidence from the time and frequency domains

Junjie Guo, Xuelian Li, Weiran Zhang and Youshu Li

The North American Journal of Economics and Finance, 2024, vol. 70, issue C

Abstract: Using the spillover index and frequency decomposition approach, this study explores the direction and magnitude of cross-border monetary policy spillovers among five systemic economies (S5): the United States, the Euro area, Japan, the United Kingdom, and China. The results suggest that China is the largest receiver and delivers the least to the other countries. Further, the findings reveal that massive monetary easing led by unconventional monetary policy implemented at home can transmit spillovers abroad. Notably, the overall spillover index peaks during a crisis. Moreover, both the static and dynamic frequency results show that short-term effects dominate spillovers. These findings suggest that both policymakers and investors should prevent foreign beggar-thy-neighbour monetary policies.

Keywords: Monetary policy; Spillover; Systemic economies; Frequency; COVID-19 (search for similar items in EconPapers)
JEL-codes: C58 E43 F42 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940824000019
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940824000019

DOI: 10.1016/j.najef.2024.102077

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().