International Monetary Policy Spillovers

Dennis Nsafoah () and Apostolos Serletis
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Dennis Nsafoah: University of Calgary

Open Economies Review, 2019, vol. 30, issue 1, No 4, 87-104

Abstract: Abstract This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzerland, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the effects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically significant spillover effects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically significant effect on the monetary policy rate of each of the other countries.

Keywords: Monetary policy shocks; Monetary policy spillovers; Structural GARCH-in-Mean VAR (search for similar items in EconPapers)
JEL-codes: E52 E58 F41 F42 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s11079-018-9505-0

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