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.