Sign-Dependent Spillovers of Global Monetary Policy

Santiago Camara
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Santiago Camara: McGill University

No 386, Working Papers from Red Nacional de Investigadores en Economía (RedNIE)

Abstract: This paper examines the sign-dependent international spillovers of Federal Reserve and European Central Bank monetary policy shocks. Using a consistent high-frequency identification of pure monetary policy shocks across 44 advanced and non-advanced economies and the methodology of Caravello and Martinez-Bruera, 2024, we documentstrong asymmetries in international transmission. Linear specifications mask these effects: contractionary shocks generate large and significant deteriorations in financialconditions, economic activity, and international trade abroad, while expansionary shocks yield little to no measurable improvement. Our results are robust across samples,identification strategies, and the framework proposed by Ben Zeev et al., 2023.

Keywords: Federal Reserve; European Central Bank; monetary policy spillovers; international transmission; sign-dependent asymmetry (search for similar items in EconPapers)
JEL-codes: E52 F41 F42 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2026-02
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Persistent link: https://EconPapers.repec.org/RePEc:aoz:wpaper:386

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