The paper develops a global vector auto-regressive model with time varying pa-
rameters and stochastic volatility to analyse whether international spillovers of US monetary
policy have changed over time. The model proposed enables us to assess whether coefficients
evolve gradually over time or are better characterized by infrequent, but large, breaks. Our find-
ings point towards pronounced changes in the international transmission of US monetary policy
throughout the sample period, especially so for the reaction of international output, equity prices
and exchange rates against the US dollar. In general, the strength of spillovers has weakened
in the aftermath of the global financial crisis. Using simple panel regressions, we link the vari-
ation in international responses to measures of trade and financial globalization. We find that
a broad trade base and a high degree of financial integration with the world economy tend to
cushion risks stemming from a foreign shock such as US tightening of monetary policy, whereas
a reduction in trade barriers and/or a liberalization of the capital account increase these risks.
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:6842 |
| Date | 08 February 2019 |
| Creators | Crespo Cuaresma, Jesus, Doppelhofer, Gernot, Feldkircher, Martin, Huber, Florian |
| Publisher | Published by John Wiley & Sons Ltd on behalf of the Royal Statistical Society |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Article, PeerReviewed |
| Format | application/pdf, application/pdf |
| Rights | Creative Commons: Attribution-NonCommercial 4.0 International (CC BY-NC 4.0), Creative Commons: Attribution-NonCommercial 4.0 International (CC BY-NC 4.0) |
| Relation | https://doi.org/10.1111/rssa.12439, https://www.wiley.com/, http://epub.wu.ac.at/6842/ |
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