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Fed and ECB monetary policy spillovers to Emerging Market Economies

Małgorzata Walerych and Grzegorz Wesołowski

Journal of Macroeconomics, 2021, vol. 70, issue C

Abstract: This paper presents evidence that the international spillovers of both Fed and ECB conventional monetary policies to Emerging Market Economies (EMEs) are global. The result comes from the panel Bayesian Vector Autoregressive (BVAR) model estimated for EMEs in which we control i.a. for foreign central banks’ policy shocks. Furthermore, in the separate BVAR model for Central and Eastern European (CEE) countries we show that the ECB is the main foreign central bank for these economies — after controlling for its shocks, their Fed counterparts play a very moderate role in driving GDP and prices in CEE.

Keywords: Monetary policy spillovers; International business cycles; Emerging economies (search for similar items in EconPapers)
JEL-codes: E32 E58 F44 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:70:y:2021:i:c:s0164070421000483

DOI: 10.1016/j.jmacro.2021.103345

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