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Monetary Policy across Space and Time

Laura Liu, Christian Matthes () and Katerina Petrova
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Laura Liu: Federal Reserve Board of Governors
Katerina Petrova: University of St. Andrews

No 18-14, Working Paper from Federal Reserve Bank of Richmond

Abstract: In this paper we ask two questions: (i) is the conduct of monetary policy stable across time and similar across major economies, and (ii) do policy decisions of major central banks have international spillover effects. To address these questions, we build on recent semi-parametric advances in time-varying parameter models that allow us to increase the VAR dimension and to jointly model three advanced economies (US, UK, and the Euro Area). In order to study policy spillovers, we jointly identify three economy-specific monetary policy shocks using a combination of sign and magnitude restrictions.

Keywords: Monetary policy spillovers; time-varying parameters; changing volatility (search for similar items in EconPapers)
JEL-codes: C54 E30 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: 2018-08-13
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