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Sign-Dependent Spillovers of Global Monetary Policy

Author

Listed:
  • Santiago Camara

    (McGill University)

Abstract

This paper examines the sign-dependent international spillovers of Federal Reserve and European Central Bank monetary policy shocks. Using a consistent high-frequency identification of pure monetary policy shocks across 44 advanced and non-advanced economies and the methodology of Caravello and Martinez-Bruera, 2024, we documentstrong asymmetries in international transmission. Linear specifications mask these effects: contractionary shocks generate large and significant deteriorations in financialconditions, economic activity, and international trade abroad, while expansionary shocks yield little to no measurable improvement. Our results are robust across samples,identification strategies, and the framework proposed by Ben Zeev et al., 2023.

Suggested Citation

  • Santiago Camara, 2026. "Sign-Dependent Spillovers of Global Monetary Policy," Working Papers 386, Red Nacional de Investigadores en Economía (RedNIE).
    • Handle: RePEc:aoz:wpaper:386
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    File URL: https://rednie.eco.unc.edu.ar/files/DT/386.pdf
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    References listed on IDEAS

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    1. Hélène Rey, 2016. "International Channels of Transmission of Monetary Policy and the Mundellian Trilemma," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(1), pages 6-35, May.
    2. Camara, Santiago, 2025. "Spillovers of US interest rates: Monetary policy & information effects," Journal of International Economics, Elsevier, vol. 154(C).
    3. Nadav Ben Zeev & Valerie A. Ramey & Sarah Zubairy, 2023. "Do Government Spending Multipliers Depend on the Sign of the Shock?," AEA Papers and Proceedings, American Economic Association, vol. 113, pages 382-387, May.
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    6. Michael D. Bauer & Eric T. Swanson, 2023. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Macroeconomics Annual, University of Chicago Press, vol. 37(1), pages 87-155.
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    9. Santiago Camara, 2023. "International Spillovers of ECB Interest Rates: Monetary Policy & Information Effects," Papers 2306.04562, arXiv.org.
    10. Miranda-Agrippino, Silvia & Nenova, Tsvetelina, 2022. "A tale of two global monetary policies," Journal of International Economics, Elsevier, vol. 136(C).
    11. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
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    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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