Citation

Discussion Paper Details

Please find the details for DP15006 in an easy to copy and paste format below:

Full Details

Title: Explaining Monetary Spillovers: The Matrix Reloaded

Author(s): Jonathan Kearns, Andreas Schrimpf and Fan Dora Xia

Publication Date: July 2020

Keyword(s): Financial Integration, high-frequency data and monetary policy spillovers

Programme Area(s): Financial Economics, International Macroeconomics and Finance and Monetary Economics and Fluctuations

Abstract: This paper relies on a high-frequency identification approach to provide new insights into monetary policy spillovers by major central banks. Our long and broad sample (1999-2019, from four major economies to 47 advanced and emerging market economies) allows us to accurately identify the properties of spillovers and to shed light on different transmission channels. We find that spillovers by the Fed to foreign interest rates are large, but more surprisingly, document an intensification of spillovers by the ECB over time. Spillovers are more significant to bond yields in advanced economies than they are to those in emerging markets. Differentiating across key spillover channels, we find strongest support for a financial links channel, but weaker evidence for the macroeconomic links channel and FX regime channel.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=15006

Bibliographic Reference

Kearns, J, Schrimpf, A and Xia, F. 2020. 'Explaining Monetary Spillovers: The Matrix Reloaded'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=15006