Spillover effects of monetary policy and information shocks

Ai Jun Hou, Ian Khrashchevskyi, Sandy Suardi and Caihong Xu

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: Central bank announcements convey monetary policy actions and the bank’s assessment of the economic outlook. By analyzing the monetary and information shocks from the Federal Reserve (Fed) and the European Central Bank (ECB), we find that the information shocks from the ECB and Fed, in addition to the monetary policy shocks from both central banks, contribute to the comovement of interest rates in many countries. Our findings underscore the role played by business cycle comovements, foreign exchange dynamics, and financial openness as transmission channels for monetary policy shocks and information shocks.

Keywords: Monetary policy shock spillover; Information shock spillover; Interest rates comovement (search for similar items in EconPapers)
JEL-codes: E44 F36 F42 F65 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001016

DOI: 10.1016/j.frl.2024.105071

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