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International Monetary Policy Spillovers: Evidence from a TVP-VAR

Nikolaos Antonakakis, David Gabauer and Rangan Gupta ()
Authors registered in the RePEc Author Service: Mark Wohar ()

No 201806, Working Papers from University of Pretoria, Department of Economics

Abstract: In this study, we examine the transmission of international monetary policy shocks across developed economies based on a time-varying parameter vector autoregressive (TVP-VAR) methodology. Using daily data on shadow short rates over the period of January 2, 1995 to September 22, 2017, we find the following empirical regularities. International monetary policy shocks are an important source of domestic monetary policy fluctuations. Moreover, the magnitude of international monetary policy spillovers behaves heterogeneously overtime, with peaks reached during the “Great Recession”. In addition, the dominant transmitters of international monetary policy shocks are the Euro Area and the US, while Japan and the UK are the dominant receivers of international monetary policy shocks. Interestingly enough, international monetary policy shocks originating from the US are the largest during the zero lower bound and the related unconventional monetary policy actions era, indicating potential gains from monetary policy coordination.

Keywords: Monetary policy spillovers; Dynamic connectedness; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C32 C50 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: 2018-01
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