Work

Spillover effects of monetary policy and information shocks

Year: 2024

Type: article

Abstract: Central bank announcements convey monetary policy actions and the bank’s assessment of the economic outlook. By analyzing the monetary and information shocks from the Federal Reserve (Fed) and the European Central Bank (ECB), we find that the information shocks from the ECB and Fed, in addition to the monetary policy shocks from both central banks, contribute to the comovement of interest rates in many countries. Our findings underscore the role played by business cycle comovements, foreign exchange dynamics, and financial openness as transmission channels for monetary policy shocks and information shocks.

Source: Finance research letters

DOI: 10.1016/j.frl.2024.105071

Authors: Ai Jun Hou, Ian Khrashchevskyi, Sandy Suardi, Caihong Xu

Institutions: Stockholm University, University of Wollongong

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,350

Funder: Jan Wallanders och Tom Hedelius Stiftelse samt Tore Browaldhs Stiftelse