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What goes around comes around: How large are spillbacks from US monetary policy?

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  • Breitenlechner, Max
  • Georgiadis, Georgios
  • Schumann, Ben

Abstract

Spillovers from US monetary policy entail spillbacks to the domestic economy. Applying counterfactual analyses in a Bayesian proxy structural vector-autoregressive model we find that spillbacks account for a non-trivial share of the slowdown in domestic real activity following a contractionary US monetary policy shock. Spillbacks materialise as a monetary policy tightening depresses foreign sales and valuations of US firms so that Tobin’s q/cash flow and stock market wealth effects impinge on investment and consumption. Net trade does not contribute to spillbacks because US monetary policy affects exports and imports similarly. Geographically, spillbacks materialise through advanced rather than emerging market economies.

Suggested Citation

  • Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    • Handle: RePEc:eee:moneco:v:131:y:2022:i:c:p:45-60
    DOI: 10.1016/j.jmoneco.2022.07.001
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    9. Allegret, Audrey & Allegret, Jean-Pierre & Ibrahim, Dalia, 2023. "Financial asymmetries between Euro area and the United States: An international political economy perspective," Journal of Policy Modeling, Elsevier, vol. 45(2), pages 266-285.
    10. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
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    12. Yang, Yang & Tang, Yanling & Cheng, Kai, 2023. "Spillback effects of US unconventional monetary policy," Finance Research Letters, Elsevier, vol. 53(C).
    13. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
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    15. Cui, Baisheng & Li, Jiaqi & Zhang, Yi, 2024. "Asymmetries in the international spillover effects of monetary policy: Based on TGVAR model," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    16. Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Oct 2024.
    17. Christopher D. Cotton, 2022. "To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?," Working Papers 23-3, Federal Reserve Bank of Boston.
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    21. Antonia Lopez Villavicencio & Marc Pourroy, 2023. "Information Shocks in the U.S. and Asset Mispricing in Emerging Economies," EconomiX Working Papers 2023-19, University of Paris Nanterre, EconomiX.

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    14. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
    15. Giovanni Angelini & Luca Fanelli, 2019. "Exogenous uncertainty and the identification of structural vector autoregressions with external instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 951-971, September.
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    More about this item

    Keywords

    US monetary policy; Spillovers; Spillbacks; Bayesian proxy structural VAR models;
    All these keywords.

    JEL classification:

    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

    Statistics

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