EconPapers    
Economics at your fingertips  
 

The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries

Irfan Akbar Kazi, Hakimzadi Wagan and Farhan Akbar

No 2012-27, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: We study the changing international transmission of US monetary policy shocks to 14 major OECD countries over the period 1981Q1-2010Q4. We use a time-varying parameter factor augmented VAR approach to study the effective federal funds rate shocks together with a large data set of 265, major financial, macroeconomic and trade variables. Our main findings are as follows. First, negative US monetary policy shocks have considerable negative impact on GDP growth in the US, Canada, Japan and Sweden whereas there is positive impact on GDP growth in the most of the other member countries. Second, the transmission to GDP growth has increased in OECD countries since the early 1980s. Third, the transmission of US monetary policy shocks to major economic and financial variables varies in magnitude during financial turmoil periods than normal periods such as the gross fixed capital formation residential, turned most negative over the second quarter after the initial shock in the US, Canada, Germany, Japan, Switzerland and New Zealand mainly during 2008Q4. Asset prices, interest rates and trade channel seem to play major role in propagation of monetary policy shocks.

Keywords: Monetary policy shocks; financial markets; international transmission channels; global integration; turmoil periods; time-varying parameter factor augmented VAR. (search for similar items in EconPapers)
JEL-codes: F1 F4 F15 C3 C5 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2012
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-opm
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)
http://economix.fr/pdf/dt/2012/WP_EcoX_2012-27.pdf (application/pdf)

Related works:
Journal Article: The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries (2013) Downloads
Journal Article: The changing international transmission of us monetary policy shocks: is there evidence of contagion effect on oecd countries (2011) Downloads
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:drm:wpaper:2012-27

Access Statistics for this paper

More papers in EconomiX Working Papers from University of Paris Nanterre, EconomiX Contact information at EDIRC.
Bibliographic data for series maintained by Valerie Mignon ().

 
Page updated 2020-09-15
Handle: RePEc:drm:wpaper:2012-27