The international effects of central bank information shocks

Michael Pfarrhofer*, Anna Stelzer

*Korrespondierende/r Autor/in für diese Arbeit

Publikation: Working paper

Abstract

We explore the international transmission of monetary policy and central bank information shocks by the Federal Reserve and the European Central Bank. Identification of these shocks is achieved by using a combination of high-frequency market surprises around announcement dates of policy decisions and sign restrictions. We propose a high-dimensional macroeconometric framework for modeling aggregate quantities alongside country-specific variables to study international shock propagation and spillover effects. Our results are in line with the established literature focusing on individual economies, and moreover suggest substantial international spillover effects in both directions for monetary policy and central bank information shocks. In addition, we detect heterogeneities in the transmission of ECB policy actions to individual member states.
OriginalspracheEnglisch
Band1912.03158
PublikationsstatusVeröffentlicht - 6 Dez 2019

Publikationsreihe

NamearXiv

Systematik der Wissenschaftszweige 2012

  • 502 Wirtschaftswissenschaften

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