| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15006 |
| DP15006 Explaining Monetary Spillovers: The Matrix Reloaded | |
| Jonathan Kearns; Paul Schrimpf; Fan Dora XIA | |
| 发表日期 | 2020-07-07 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper relies on a high-frequency identification approach to provide new insights into monetary policy spillovers by major central banks. Our long and broad sample (1999-2019, from four major economies to 47 advanced and emerging market economies) allows us to accurately identify the properties of spillovers and to shed light on different transmission channels. We find that spillovers by the Fed to foreign interest rates are large, but more surprisingly, document an intensification of spillovers by the ECB over time. Spillovers are more significant to bond yields in advanced economies than they are to those in emerging markets. Differentiating across key spillover channels, we find strongest support for a financial links channel, but weaker evidence for the macroeconomic links channel and FX regime channel. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Monetary policy spillovers High-frequency data Financial integration |
| URL | https://cepr.org/publications/dp15006 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543955 |
| 推荐引用方式 GB/T 7714 | Jonathan Kearns,Paul Schrimpf,Fan Dora XIA. DP15006 Explaining Monetary Spillovers: The Matrix Reloaded. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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