The global transmission of U.S. monetary policy - Sciences Po Access content directly
Preprints, Working Papers, ... Year : 2021

The global transmission of U.S. monetary policy

Riccardo Degasperi
  • Function : Author
Seokki Simon Hong
  • Function : Author
Giovanni Ricco
  • Function : Author
  • PersonId : 1069188

Abstract

We quantify global US monetary policy spillovers by employing a high-frequency identification and big data techniques, in conjunction with a large harmonised dataset covering 30 economies. We report three novel stylised facts. First, a US monetary policy tightening has large contractionary effects onto both advanced and emerging economies. Second, flexible exchange rates cannot fully insulate domestic economies, due to movements in risk premia that limit central banks’ ability to control the yield curve. Third, financial channels dominate over demand and exchange rate channels in the transmission to real variables, while the transmission via oil and commodity prices determines nominal spillovers.
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Dates and versions

hal-03373749 , version 1 (11-10-2021)

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  • HAL Id : hal-03373749 , version 1

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Riccardo Degasperi, Seokki Simon Hong, Giovanni Ricco. The global transmission of U.S. monetary policy. 2021. ⟨hal-03373749⟩

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