Explaining Monetary Spillovers: The Matrix Reloaded
Jonathan Kearns,
Andreas Schrimpf and
Fan Dora Xia
Journal of Money, Credit and Banking, 2023, vol. 55, issue 6, 1535-1568
Abstract:
This paper relies on a high‐frequency identification approach to provide new insights into monetary policy spillovers by major central banks. Our long and broad sample (1999–2019, from four major economies to 47 advanced and emerging market economies) allows us to accurately identify the properties of spillovers and to shed light on different transmission channels. We find that spillovers by the Fed to foreign interest rates are economically large, but more surprisingly, document an intensification of spillovers by the European Central Bank over time. Spillovers are more significant to bond yields in advanced economies than they are to those in emerging markets. Differentiating across key spillover channels, we find strongest support for a financial links channel, but weaker evidence for the macroeconomic links channel and foreign exchange regime channel.
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
https://doi.org/10.1111/jmcb.12996
Related works:
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2020) 
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2019) 
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2018) 
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:wly:jmoncb:v:55:y:2023:i:6:p:1535-1568
Access Statistics for this article
Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West
More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().