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International Monetary Policy Spillovers

Author

Listed:
  • Apostolos Serletis

    (University of Calgary)

  • Dennis Nsafoah

    (University of Calgary)

Abstract

This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzer- land, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the e¤ects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically signi…cant spillover e¤ects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically signi…cant e¤ect on the monetary policy rate of each of the other countries.

Suggested Citation

  • Apostolos Serletis & Dennis Nsafoah, "undated". "International Monetary Policy Spillovers," Working Papers 2018-06, Department of Economics, University of Calgary, revised 30 Jun 2018.
    • Handle: RePEc:clg:wpaper:2018-06
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    Cited by:

    1. Nahiyan Faisal Azad & Apostolos Serletis, 2020. "Monetary policy spillovers in emerging economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 664-683, October.
    2. Azad, Nahiyan Faisal & Serletis, Apostolos, 2022. "Spillovers of U.S. monetary policy uncertainty on inflation targeting emerging economies," Emerging Markets Review, Elsevier, vol. 51(PA).
    3. Jon Frost & Patty Duijm & Clemens Bonner & Leo Haan & Jakob Haan, 2019. "International Lending of Dutch Insurers and Pension Funds: the Impact of ECB Monetary Policy and Prudential Policies in the Host Country," Open Economies Review, Springer, vol. 30(3), pages 445-456, July.
    4. Rangan Gupta & Chi Keung Marco Lau & Jacobus A. Nel & Xin Sheng, 2020. "Monetary policy uncertainty spillovers in time and frequency domains," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-30, December.
    5. Delpachitra, Sarath & Hou, Keqiang & Cottrell, Simon, 2020. "The impact of oil price shocks in the Canadian economy: A structural investigation on an oil-exporting economy," Energy Economics, Elsevier, vol. 91(C).
    6. Jon Frost & Patty Duijm & Clemens Bonner & Leo Haan & Jakob Haan, 2019. "International Lending of Dutch Insurers and Pension Funds: the Impact of ECB Monetary Policy and Prudential Policies in the Host Country," Open Economies Review, Springer, vol. 30(3), pages 445-456, July.
    7. Margaux MacDonald & Michał Ksawery Popiel, 2020. "Unconventional Monetary Policy in a Small Open Economy," Open Economies Review, Springer, vol. 31(5), pages 1061-1115, November.
    8. Aaron D. Smallwood, 2022. "Inference in Misspecified GARCH‐M Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 334-355, April.
    9. Dennis Nsafoah & Apostolos Serletis, 2020. "Monetary Policy and Interest Rate Spreads," Open Economies Review, Springer, vol. 31(3), pages 707-727, July.

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    More about this item

    Keywords

    Monetary policy shocks; Monetary policy spillovers; Structural GARCH-in- Mean VAR.;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • 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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