EconPapers    
Economics at your fingertips  
 

Investigating Monetary Policy Spillovers from the United States of America to Jamaica

André Murray ()
Additional contact information
André Murray: Bank of Jamaica

Chapter 9 in International Spillovers of Monetary Policy, 2017, pp 287-319 from Centro de Estudios Monetarios Latinoamericanos, CEMLA

Abstract: This paper investigates the evidence of monetary policy spillovers from the United States of America (USA) to financial conditions and monetary policy decisions in Jamaica. It utilizes the method developed by Lombardi and Zhu (2014) to derive shadow policy interest rates for Jamaica as well as the shadow policy rate for the USA derived by Wu and Xia (2016), then employs a standard structural vector auto regressive (SVAR) model to identify the monetary policy shocks. Utilizing shadow policy rates is key to identifying the true monetary policy stance in both countries given their extensive use of unconventional monetary policy tools following the 2008 global financial crisis (GFC), albeit for different reasons. The results suggest that there are direct monetary policy spillovers from the USA to Jamaica. However, the largest spillover was indirectly through the response of the monetary authority in Jamaica to the us policy’s impact on relative prices.

Keywords: monetary policy; international spillovers; Taylor rule (search for similar items in EconPapers)
JEL-codes: E52 E58 F33 (search for similar items in EconPapers)
Date: 2017
Note: Joint Research Program XX Meeting of the Central Bank Researchers Network
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.cemla.org/PDF/ic/2017-05-jrp-ISMP-09.pdf (application/pdf)

Related works:
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:cml:incocp:3-09

Ordering information: This item can be ordered from
http://www.cemla.org

Access Statistics for this chapter

More chapters in Investigación Conjunta-Joint Research from Centro de Estudios Monetarios Latinoamericanos, CEMLA Contact information at EDIRC.
Bibliographic data for series maintained by Ana Laura Sibaja-Jiménez ().

 
Page updated 2021-07-21
Handle: RePEc:cml:incocp:3-09