When the Fed sneezes, the whole world catches the cold, when the ECB - only Europe

Małgorzata Walerych and Grzegorz Wesołowski

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents evidence that the international spillovers of Fed's conventional monetary policy to emerging markets are global, while their ECB's counterparts are local. The result comes from panel Bayesian Vector Autoregressive model estimated separately for two groups of countries: Central Eastern Europe (CEE) and Latin America (LA). In this setup, we investigate the impact of unanticipated and anticipated Fed and ECB montetary policy shocks, showing that the former affect both regions, while the latter are important for CEE and insignificant for LA.

Keywords: Monetary policy spillovers; international business cycles; emerging economies (search for similar items in EconPapers)
JEL-codes: E32 E58 F44 (search for similar items in EconPapers)
Date: 2020-06-05
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon, nep-opm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100899

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