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US Monetary Policy in a Globalized World

Jesús Crespo-Cuaresma, Gernot Doppelhofer, Martin Feldkircher and Florian Huber
Authors registered in the RePEc Author Service: Jesus Crespo Cuaresma ()

No 5826, CESifo Working Paper Series from CESifo Group Munich

Abstract: We analyze the interaction between monetary policy in the US and the global economy, using a global vector autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock leads to a persistent fall in international output, a drop in global inflation rates, a rise in international interest rates and a strengthening of the US dollar in real terms, with heterogeneous transmission effects across countries and over time. US short-term rates decrease significantly in response to a monetary policy tightening abroad or a negative shock to foreign real GDP growth.

Keywords: global vector autoregression; time-varying parameters; stochastic volatility; monetary policy; international spillovers (search for similar items in EconPapers)
JEL-codes: C30 E52 F41 (search for similar items in EconPapers)
Date: 2016
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Working Paper: US Monetary Policy in a Globalized World (2016) Downloads
Working Paper: US Monetary Policy in a Globalized World (2015) Downloads
Working Paper: US Monetary Policy in a Globalized World (2015) Downloads
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