Explaining Monetary Spillovers: The Matrix Reloaded

Andreas Schrimpf, Jonathan Kearns and Fan Dora Xia

No 15006, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 large, but more surprisingly, document an intensification of spillovers by the ECB 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 FX regime channel.

Keywords: Monetary policy spillovers; High-frequency data; Financial integration (search for similar items in EconPapers)
JEL-codes: E44 F36 F42 F65 (search for similar items in EconPapers)
Date: 2020-07
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Explaining Monetary Spillovers: The Matrix Reloaded (2023)
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2019)
Working Paper: Explaining Monetary Spillovers: The Matrix Reloaded (2018)
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