The Global Financial Cycle and US Monetary Policy in an Interconnected World
Stephane Dees () and
Alessandro Galesi ()
Working papers from Banque de France
We assess the international spillovers of US monetary policy with a large-scale global VAR which models the world economy as a network of interdependent countries. An expansionary US monetary policy shock contributes to the emergence of a Global Financial Cycle, which boosts macroeconomic activity worldwide. We also find that economies with floating exchange rate regimes are not fully insulated from US monetary policy shocks and, even though they appear to be relatively less affected by the shocks, the differences in responses across exchange rate regimes are not statistically significant. The role of US monetary policy in driving these macrofinancial spillovers gets even reinforced by the complex network of interactions across countries, to the extent that network effects roughly double the direct impacts of US monetary policy surprises on international equity prices, capital flows, and global growth.
Keywords: : Trilemma; Global Financial Cycle; Monetary Policy Spillovers; Network Effects. (search for similar items in EconPapers)
JEL-codes: C32 E52 F40 (search for similar items in EconPapers)
Pages: 36 pages
New Economics Papers: this item is included in nep-fdg, nep-ifn, nep-mac, nep-mon and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... /documents/wp744.pdf
Working Paper: The global financial cycle and us monetary policy in an interconnected world (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:744
Access Statistics for this paper
More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().