International Monetary Transmission to the Euro Area: Evidence from the US, Japan and China

Joaquin Vespignani and Ronald Ratti

No 16436, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: There are marked differences in the effect of increases in monetary aggregates in China, Japan and the U.S. on Euro area economic and financial variables over 1999-2012. Increases in monetary aggregates in China are associated with significant increases in the world price of commodities and with increases in Euro area inflation, industrial production and exports. Results are consistent with shocks to China’s M2 facilitating domestic growth with expansionary consequences for the Euro area economy. In contrast, increases in monetary aggregates in Japan are associated with significant appreciation of the Euro and decreases in Euro area industrial production and exports. Production of goods highly competitive with European goods in Japan and expenditure switching in Japan are consistent with the results. U.S. monetary expansion has relatively small effects on the Euro area over this period compared to results reported in the literature for earlier sample periods.

Keywords: International monetary transmission; China’s monetary aggregates; Euro area Commodity prices (search for similar items in EconPapers)
JEL-codes: E52 E58 F31 F42 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2013-08-05, Revised 2013-08-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Published by the University of Tasmania. Discussion paper 2013-03

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Related works:
Working Paper: International monetary transmission to the Euro area: Evidence from the U.S., Japan and China (2013)
Working Paper: International monetary transmission to the Euro area: Evidence from the U.S., Japan and China (2013)
Working Paper: International monetary transmission to the Euro area: Evidence from the U.S., Japan and China (2013)
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