What goes around comes around: How large are spillbacks from US monetary policy?

Max Breitenlechner, Georgios Georgiadis and Ben Schumann

Journal of Monetary Economics, 2022, vol. 131, issue C, 45-60

Abstract: Spillovers from US monetary policy entail spillbacks to the domestic economy. Applying counterfactual analyses in a Bayesian proxy structural vector-autoregressive model we find that spillbacks account for a non-trivial share of the slowdown in domestic real activity following a contractionary US monetary policy shock. Spillbacks materialise as a monetary policy tightening depresses foreign sales and valuations of US firms so that Tobin’s q/cash flow and stock market wealth effects impinge on investment and consumption. Net trade does not contribute to spillbacks because US monetary policy affects exports and imports similarly. Geographically, spillbacks materialise through advanced rather than emerging market economies.

Keywords: US monetary policy; Spillovers; Spillbacks; Bayesian proxy structural VAR models (search for similar items in EconPapers)
JEL-codes: C50 E52 F42 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393222000940
Full text for ScienceDirect subscribers only

Related works:
Working Paper: What goes around comes around: How large are spillbacks from US monetary policy? (2021)
Working Paper: What goes around comes around: How large are spillbacks from US monetary policy? (2021)
Working Paper: What goes around comes around: How large are spillbacks from US monetary policy? (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:131:y:2022:i:c:p:45-60

DOI: 10.1016/j.jmoneco.2022.07.001

Access Statistics for this article

Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser

More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().