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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
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Citations: View citations in EconPapers (4)

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https://doi.org/10.1111/jmcb.12996

Related works:
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2020) Downloads
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2019) Downloads
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2018) Downloads
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