Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/201416 
Authors: 
Year of Publication: 
2018
Series/Report no.: 
DIW Discussion Papers No. 1701
Version Description: 
June 2018, Revised version
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
This study documents empirically that contractionary US monetary policy may generate short-term expansionary spillover effects. In individual Euro Area (EA) member countries, economic activity increases, mainly via the trade channel. Also, domestic credit and stock markets expand, highlighting the importance of the financial channel. However, the international repercussions are transitory and distributed unevenly within the EA. The effect diminishes as EA interest rates increase with a few quarters delay. While the effects are heterogenous and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. Still, country-specific asymmetries remain.
Subjects: 
Structural dynamic factor model
Sign restrictions
Monetary policy
US
Euro Area
Spillover effects
JEL: 
C32
E52
E58
Document Type: 
Working Paper

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