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Spillover effects of monetary policy and information shocks

Author

Listed:
  • Hou, Ai Jun
  • Khrashchevskyi, Ian
  • Suardi, Sandy
  • Xu, Caihong

Abstract

Central bank announcements convey monetary policy actions and the bank’s assessment of the economic outlook. By analyzing the monetary and information shocks from the Federal Reserve (Fed) and the European Central Bank (ECB), we find that the information shocks from the ECB and Fed, in addition to the monetary policy shocks from both central banks, contribute to the comovement of interest rates in many countries. Our findings underscore the role played by business cycle comovements, foreign exchange dynamics, and financial openness as transmission channels for monetary policy shocks and information shocks.

Suggested Citation

  • Hou, Ai Jun & Khrashchevskyi, Ian & Suardi, Sandy & Xu, Caihong, 2024. "Spillover effects of monetary policy and information shocks," Finance Research Letters, Elsevier, vol. 62(PA).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001016
    DOI: 10.1016/j.frl.2024.105071
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    Keywords

    Monetary policy shock spillover; Information shock spillover; Interest rates comovement;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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