Monetary Policy and its Transmission in a Globalised World
71 Pages Posted: 13 May 2020
Date Written: May, 2020
This paper estimates and compares the international transmission of European Central Bank (ECB) and Federal Reserve System monetary policy in a unified and methodologically consistent framework. It identifies pure monetary policy shocks by purging them of the bias stemming from contemporaneous central bank information effects. The results suggest that there is a hierarchy in the global spillovers from ECB and Federal Reserve monetary policy: while the spillovers to consumer prices are relatively small in both directions, Federal Reserve monetary policy shocks have a larger impact on euro area financial markets and real activity. Federal Reserve monetary policy also has a significantly larger impact than ECB monetary policy on real and financial variables in the rest of the world.
Keywords: international monetary policy coordination, international shock transmission, monetary policy shocks, monetary policy spillovers
JEL Classification: E44, E52, F3, E58, F42
Suggested Citation: Suggested Citation