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Monetary Policy across Space and Time

Author

Listed:
  • Laura Liu
  • Christian Matthes
  • Katerina Petrova
  • Jessica Sackett Romero

Abstract

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.

Suggested Citation

  • 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.
  • Handle: RePEc:fip:fedreb:00079
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    File URL: https://www.richmondfed.org/publications/research/economic_brief/2019/eb_19-08
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    References listed on IDEAS

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    Cited by:

    1. Zakipour-Saber, Shayan, 2019. "Forecasting in the euro area: The role of the US long rate," Economic Letters 5/EL/19, Central Bank of Ireland.

    More about this item

    Keywords

    macroeconomic; financial distress; monetary policy; VAR; vector autoregression; TVP-VAR;

    JEL classification:

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

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