Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy

Julian di Giovanni and Galina Hale

Journal of Finance, 2022, vol. 77, issue 6, 3373-3421

Abstract: We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country‐sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open‐economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empirical counterfactuals show that shutting down global production linkages halves the total impact of U.S. monetary policy shocks.

Date: 2022
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Citations: View citations in EconPapers (11)

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https://doi.org/10.1111/jofi.13181

Related works:
Working Paper: Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy (2021)
Working Paper: Stock Market Spillovers Via the Global Production Network: Transmission of U.S. Monetary Policy (2020)
Working Paper: Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy (2020)
Working Paper: Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy (2020)
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