G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15404
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 across countries and sectors using a newly constructed dataset. Our estimation strategy is based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We use the SAR model to decompose the overall impact of U.S. monetary policy on global stock returns into a direct and a network effect. We find that nearly 70% of the total impact of U.S. monetary policy shocks on country-sector stock returns are due to the network effect of global production linkages. Empirical counterfactuals show that shutting down global production linkages would reduce the total global impact of U.S. monetary policy shocks by half. Our results are robust to changes in the definitions of stock returns and monetary policy shocks, to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to alternative empirical specifications.
主题International Macroeconomics and Finance
关键词Global production network Asset prices Monetary policy shocks Spillovers
URLhttps://cepr.org/publications/dp15404-4
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/544390
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.
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