Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201674
Authors: 
Crespo Cuaresma, Jesús
Doppelhofer, Gernot
Feldkircher, Martin
Huber, Florian
Year of Publication: 
2018
Series/Report no.: 
Working Papers in Economics 2018-06
Abstract: 
This paper develops a global vector autoregressive (GVAR) model with time-varying parameters and stochastic volatility to analyze whether international spillovers of US monetary policy have changed over time. The proposed model allows assessing whether coefficients evolve gradually over time or are better characterized by infrequent, but large breaks. Our findings point towards pronounced changes in the international transmission of US monetary policy throughout the sample period, especially so for the reaction of international output, equity prices, and exchange rates against the US dollar. In general, the strength of spillovers has weakened in the aftermath of the global financial crisis. Using simple panel regressions, we link the variation in international responses to measures of trade and financial globalization. We find that a broad trade base and a high degree of financial integration with the world economy tend to cushion risks stemming from a foreign shock such as a US monetary policy tightening, whereas a reduction in trade barriers and/or a liberalization of the capital account increase these risks.
Subjects: 
Spillovers
zero lower bound
globalization
mixture innovation models
JEL: 
C30
E52
F41
Document Type: 
Working Paper
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