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International effects of euro area forward guidance

Maximilian Böck, Martin Feldkircher and Pierre Siklos ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper explores the domestic and international effects of an increase in observed interest rates (conventional monetary policy) and expected interest rates (forward guidance). We find significant spillovers to a broad range of countries when both are subject to a tightening shock: Output growth and inflation decelerate and equity returns decline. Currencies of euro area neighboring countries tend to depreciate against the euro. A tightening forward guidance shock triggers more persistent effects on euro area and international interest rates. We find that international effects vary over the sample period when either interest rates are shocked.

Keywords: Spillovers; interest rate expectations; forward guidance; GVAR (search for similar items in EconPapers)
JEL-codes: C11 C30 E5 F3 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2020-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-opm
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https://cama.crawford.anu.edu.au/sites/default/fil ... kircher_siklos_1.pdf (application/pdf)

Related works:
Journal Article: International Effects of Euro Area Forward Guidance (2021) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-54

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