Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/130461 
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper No. 5826
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
We analyze the interaction between monetary policy in the US and the global economy, using a global vector autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock leads to a persistent fall in international output, a drop in global inflation rates, a rise in international interest rates and a strengthening of the US dollar in real terms, with heterogeneous transmission effects across countries and over time. US short-term rates decrease significantly in response to a monetary policy tightening abroad or a negative shock to foreign real GDP growth.
Subjects: 
global vector autoregression
time-varying parameters
stochastic volatility
monetary policy
international spillovers
JEL: 
C30
E52
F41
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.