Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/310389 
Year of Publication: 
2024
Series/Report no.: 
Working Paper No. 15/2023
Publisher: 
Norges Bank, Oslo
Abstract: 
We estimate a time-varying parameter vector autoregression to examine the evolution of international spillovers of U.S. monetary policy in light of increasing globalization in real and financial markets. We find that the adverse international effects of a U.S. tightening have substantially increased over the past three decades, peaking during the Great Recession. Based on a cross-country analysis and counterfactual simulations, we argue that such amplification can primarily be attributed to the surge in trade integration, while the role of rising financial integration in explaining the time-variation is limited.
Subjects: 
Monetary policy
international Spillovers
Monetary Policy
International Spillovers
TVP-VARs
JEL: 
C32
E32
E52
F42
F62
Persistent Identifier of the first edition: 
ISBN: 
978-82-8379-305-5
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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