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  1. Active driver or passive victim
    on the role of international monetary policy transmission
    Autor*in: Camehl, Annika; Schweinitz, Gregor von
    Erschienen: January 2023
    Verlag:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply... mehr

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    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
    Signatur:
    eBook
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 13
    Fernleihe:
    keine Fernleihe

     

    We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply equations in a Bayesian structural panel vector autoregressive model. We formulate prior beliefs on magnitudes and signs of contemporaneous structural coefficients (i.e., (semi-)elasticities), based on a standard theoretical multi-country open economy model from the literature. Our findings show that interest rate spillovers occur via an aggregated demand channel. Unexpected monetary tightening causes modest declines in most foreign interest rates, while demand and supply shocks result in increased foreign interest rates. Our results support that central banks respond to changes in the domestic macroeconomic environment induced by domestic or foreign shocks rather than directly reacting to foreign shocks. Spillovers are quantitatively stronger for shocks originating in economically large areas with strong trade linkages.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/269859
    Schriftenreihe: IWH discussion papers ; 2023, no. 3 (January 2023)
    Schlagworte: informative priors; panel vector autoregressions; spillovers; structural vector autoregressions
    Umfang: 1 Online-Ressource (III, 36 Seiten, 2,43 MB), Diagramme
    Bemerkung(en):

    Literaturverzeichnis: Seite 32-36
  2. What explains international interest rate co-movement?
    Autor*in: Camehl, Annika; Schweinitz, Gregor von
    Erschienen: [September 2023?]
    Verlag:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react... mehr

    Zugang:
    Array (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
    Signatur:
    eBook
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 13
    Fernleihe:
    keine Fernleihe

     

    We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most foreign interest rates, while expansionary local supply and demand shocks increase them. To disentangle determinants of international interest rate co-movement, we use a Bayesian structural panel vector autoregressive model accounting for latent global supply and demand shocks. We identify country-specific structural shocks via informative prior distributions based on a standard theoretical multi-country open economy model.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/275742
    Auflage/Ausgabe: This version: September 4, 2023
    Schriftenreihe: IWH discussion papers ; 2023, no. 3 (January 2023) [rev.]
    Schlagworte: informative priors; panel vector autoregressions; spillovers; structural vector autoregressions
    Umfang: 1 Online-Ressource (III, 37 Seiten, 1,71 MB), Diagramme