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International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression

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  • Antonakakis, Nikolaos
  • Gabauer, David
  • Gupta, Rangan

Abstract

This study examines the transmission of international monetary policy spillovers across developed economies based on a Bayesian time-varying parameter vector autoregressive (TVP-VAR) connectedness methodology. The analysis is based on daily shadow short rates over the period of January 2, 1995 to December 20, 2018. The empirical findings suggest that the magnitude of international monetary policy spillovers behaves heterogeneously over time, with unprecedented heights reached during the Great Recession of 2009, suggesting potential gains from unconventional monetary policy coordination. In addition, the results indicate that the dominant transmitters of international monetary policy spillovers are the Euro Area and the US, while Japan and the UK are the dominant receivers of spillovers. Our results are robust to alternative experimentations in terms of estimation and prior choices used to estimate the TVP-VAR.

Suggested Citation

  • Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression," International Review of Financial Analysis, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:finana:v:65:y:2019:i:c:s105752191930050x
    DOI: 10.1016/j.irfa.2019.101382
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    More about this item

    Keywords

    Monetary policy spillovers; Financial transmission; Dynamic connectedness; TVP-VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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