DP16134 Making waves: Monetary policy and its asymmetric spillovers in a globalised world

Author(s): Michele Ca'Zorzi, Luca Dedola, Georgios Georgiadis, Marek Jarocinski, Livio Stracca, Georg Strasser
Publication Date: May 2021
Keyword(s): International Transmission, monetary policy shocks, monetary policy spillovers
JEL(s): E44, E52, E58, F3, F42
Programme Areas: International Macroeconomics and Finance, Monetary Economics and Fluctuations
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=16134

This paper compares the international transmission of European Central Bank (ECB) and Federal Reserve System (Fed) monetary policy in a unified framework, identifying pure monetary policy shocks purged of bias from central bank information effects. The estimates reveal a stark asymmetry in the global spillovers from ECB and Fed monetary policy: Fed monetary policy shocks have a significant impact on euro area financial conditions and real activity, while ECB monetary policy shocks do not have a similar effect on the United States (US). Fed monetary policy shocks also affect real and financial variables in the rest of the world more than ECB monetary policy shocks.