Global spillovers from multi-dimensional US monetary policy

Georgios Georgiadis and Marek Jarociński

No 2881, Working Paper Series from European Central Bank

Abstract: We estimate international spillovers from both conventional and unconventional US monetary policy. We use novel measures of exogenous variation in conventional policy, forward guidance and large-scale asset purchases (LSAPs), based on high-frequency asset price surprises around a broad set of Federal Reserve communications. The identification relies on relatively weak assumptions and accounts for potential endogenous policy components—including central bank information effects—in these asset price surprises. We find that: (i) conventional policy, forward guidance and LSAPs all generate large and comparable spillovers; (ii) these spillovers transmit through trade and financial channels to a similar extent; (iii) LSAPs trigger immediate international portfolio rebalancing between US and foreign bonds that are relatively close substitutes, but they produce only limited spillovers in term premia; (iv) all Fed policy measures create trade-offs for emerging market monetary policy between stabilizing output and prices vs.ensuring financial stability, particularly with regard to capital inflows. JEL Classification: F42, E52, C50

Keywords: central bank information effects; high-frequency identification; monetary policy spillovers; US monetary policy shocks (search for similar items in EconPapers)
Date: 2023-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-ifn, nep-mon and nep-opm
Note: 2435756
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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