US Monetary Policy and the Euro Area

Aufsätze referiert extern - Web of Science 2019

Max Hanisch

In: Journal of Banking & Finance 100 (2019), S. 77-96

Abstract

This study documents empirically that contractionary US monetary policy may generate short-term expansionary spillover effects. In individual Euro Area (EA) member countries, economic activity increases, mainly via the trade channel. Also, domestic credit and stock markets expand, highlighting the importance of the financial channel. However, the international repercussions are transitory and distributed unevenly within the EA. The effect diminishes as EA interest rates increase with a few quarters delay. While the effects are heterogenous and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. Still, country-specific asymmetries remain.

Max Hanisch

Wissenschaftlicher Mitarbeiter in der Abteilung Weltwirtschaft

Themen: Geldpolitik, Europa



JEL-Classification: C32;E52;E58
Keywords: Structural dynamic factor model, Sign restrictions, Monetary policy, US, Euro area, Spillover effects
DOI:
https://doi.org/10.1016/j.jbankfin.2019.01.005