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Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
LEAF Working Paper Series No. 19-02
Verlag: 
University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), Lincoln
Zusammenfassung: 
We estimate a structural dynamic factor model on large panel quarterly data to analyse the spillovers of U.S. monetary policy to the advanced economies and emerging and frontier market economies. The estimated model suggests that monetary contraction in U.S. leads to a significant decrease in real GDP with typical inverted hump-shape almost for all countries. It reduces permanently aggregate price level, increases interest rate and leads appreciation of U.S. dollar. However, contagion of U.S. monetary policy to the individual countries shows heterogeneity. For instance, its impact is larger in developing countries. We also find that global financial crisis has amplified the impact of U.S monetary policy on the rest of world in particular on developing countries. Lastly, the empirical results suggest that the cross-country heterogeneity in responses may be consequence of difference in country-specific characteristics such as exchange rate regimes, currency of price settings of firms, central bank independence and geographical distance from Unites States.
Schlagwörter: 
cross-country heterogeneity
country-specific characteristic
international monetary spillovers
structural factor model
monetary policy
JEL: 
C38
E43
E52
E58
F42
G12
Dokumentart: 
Working Paper

Datei(en):
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