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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2024-3
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
Motivated by empirical evidence, we propose an open-economy New Keynesian model with financial integration that allows financial intermediaries to hold foreign long-term bonds. We find financial integration features an amplification for a domestic monetary policy shock and a negative spillover for a foreign shock. These results hold for conventional and unconventional monetary policies. Among various aspects of financial integration, the bond duration plays a major role, and our results cannot be replicated by a standard model of perfect risk sharing between households. Finally, we observe an important interaction between financial integration and trade openness and demonstrate trade alone does not have an economically meaningful impact on monetary policy transmission.
Schlagwörter: 
Central bank research
International financial markets
Monetary policy transmission
JEL: 
E44
E52
F36
F42
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