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International Monetary Policy Spillovers

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Abstract

This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzerland, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the effects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically significant spillover effects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically significant effect on the monetary policy rate of each of the other countries.

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Authors and Affiliations

  1. Department of Economics, University of Calgary, Calgary, Alberta, T2N 1N4, Canada

    Dennis Nsafoah & Apostolos Serletis

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  1. Dennis Nsafoah
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  2. Apostolos Serletis
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Correspondence to Apostolos Serletis.

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Nsafoah, D., Serletis, A. International Monetary Policy Spillovers. Open Econ Rev 30, 87–104 (2019). https://doi.org/10.1007/s11079-018-9505-0

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  • DOI: https://doi.org/10.1007/s11079-018-9505-0

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