US Monetary Policy in a Globalized World

Crespo Cuaresma, Jesus ORCID: and Doppelhofer, Gernot and Feldkircher, Martin ORCID: and Huber, Florian ORCID: (2015) US Monetary Policy in a Globalized World. Department of Economics Working Paper Series, 209. WU Vienna University of Economics and Business, Vienna.


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We analyze the interaction between monetary policy in the US and the global economy proposing a new class of Bayesian global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). Our results suggest that US monetary policy responds to shocks to the global economy, in particular to global aggregate demand and monetary policy shocks. On the other hand, US-based contractionary monetary policy shocks lead to persistent international output contractions and a drop in global inflation rates, coupled with rising interest rates in advanced economies and a real depreciation of currencies with respect to the US dollar. We find considerable evidence for heterogeneity in the spillovers across countries, as well for changes in the transmission of monetary policy shocks over time.

Item Type: Paper
Keywords: Global vector autoregression / time-varying parameters / stochastic volatility / monetary policy / international spillovers
Classification Codes: JEL C30, E52, F41
Divisions: Departments > Volkswirtschaft
Depositing User: Claudia Tering-Raunig
Date Deposited: 17 Nov 2015 12:15
Last Modified: 15 Oct 2021 14:34


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