Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130461
Authors: 
Crespo-Cuaresma, Jesús
Doppelhofer, Gernot
Feldkircher, Martin
Huber, Florian
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper 5826
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

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