 Central bank information effects and transatlantic spilloversJournal of International Economics, 2022, vol. 139, issue C Abstract: News about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, and for most of this co-movement around ECB policy announcements. Consequently, ECB surprise interest rate hikes that spill over to US government bond yields reflect good news and are followed on average by easier, not tighter, US financial conditions and an economic expansion. In fact, they spill over similarly as positive European macroeconomic news surprises. By contrast, pure ECB “monetary policy shocks” do not spill over, in part because of the offsetting Fed policy stance. Keywords: International policy transmission; Monetary policy shocks; High-frequency identification; Structural VAR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001155 DOI: 10.1016/j.jinteco.2022.103683 Access Statistics for this article Journal of International Economics is currently edited by Gourinchas, Pierre-Olivier and RodrÃguez-Clare, Andrés More articles in Journal of International Economics from Elsevier |
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