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Monetary Policy across Space and Time

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Many major macroeconomic events have occurred across multiple countries. This Economic Brief looks at similarities and differences among the euro area, the United Kingdom, and the United States and finds that macroeconomic variables tend to become more interconnected during periods of financial distress. Movements in monetary policy are highly correlated across all three regions. In addition, inflation and unemployment become less responsive to monetary policy shocks over time.

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  • Laura Liu & Christian Matthes & Katerina Petrova & Jessica Sackett Romero, 2019. "Monetary Policy across Space and Time," Richmond Fed Economic Brief, Federal Reserve Bank of Richmond, issue August.
    • Handle: RePEc:fip:fedreb:00079
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    Cited by:

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    3. 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).
    4. Lei, Jian, 2021. "Curve momentum in currency markets," Finance Research Letters, Elsevier, vol. 42(C).

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    More about this item

    Keywords

    macroeconomics; financial distress; monetary policy; VAR; vector autoregressions; TVP-VAR;
    All these keywords.

    JEL classification:

    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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