Making waves: Monetary policy and its asymmetric spillovers in a globalised world

Luca Dedola, Ca’Zorzi, Michele, Georgios Georgiadis, Marek Jarociński, Livio Stracca and Georg Strasser
Authors registered in the RePEc Author Service: Michele Ca' Zorzi

No 16134, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper compares the international transmission of European Central Bank (ECB) and Federal Reserve System (Fed) monetary policy in a unified framework, identifying pure monetary policy shocks purged of bias from central bank information effects. The estimates reveal a stark asymmetry in the global spillovers from ECB and Fed monetary policy: Fed monetary policy shocks have a significant impact on euro area financial conditions and real activity, while ECB monetary policy shocks do not have a similar effect on the United States (US). Fed monetary policy shocks also affect real and financial variables in the rest of the world more than ECB monetary policy shocks.

Keywords: Monetary policy spillovers; Monetary policy shocks; International transmission (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 F3 F42 (search for similar items in EconPapers)
Date: 2021-05
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