Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/275742 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
IWH Discussion Papers No. 3/2023
Versionsangabe: 
This version: September 4, 2023
Verlag: 
Halle Institute for Economic Research (IWH), Halle (Saale)
Zusammenfassung: 
We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most foreign interest rates, while expansionary local supply and demand shocks increase them. To disentangle determinants of international interest rate co-movement, we use a Bayesian structural panel vector autoregressive model accounting for latent global supply and demand shocks. We identify country-specific structural shocks via informative prior distributions based on a standard theoretical multi-country open economy model.
Schlagwörter: 
informative priors
panel vector autoregressions
spillovers
structural vector autoregressions
JEL: 
C11
C30
E52
F42
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.