| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15404 |
| DP15404 Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy | |
| Galina Hale; Julian di Giovanni | |
| 发表日期 | 2020-10-22 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of 54 sectors in 26 countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We then use the SAR model to decompose the overall impact of U.S. monetary policy on stock returns into a direct and a network effect. We find that up to 80% of the total impact of U.S. monetary policy shocks on average country-sector stock returns are due to the network effect of global production linkages. We further show that U.S. monetary policy shocks have a direct impact predominantly on U.S. sectors and then propagate to the rest of the world through the global production network. Our results are robust to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to changes in variable definitions and empirical specifications. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Global production network Asset prices Monetary policy shocks |
| URL | https://cepr.org/publications/dp15404-0 |
| 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/544389 |
| 推荐引用方式 GB/T 7714 | Galina Hale,Julian di Giovanni. DP15404 Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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