If the Fed sneezes, who catches a cold?

Dedola, Luca; Rivolta, Giulia; Stracca, Livio

doi:10.1016/j.jinteco.2017.01.002

Cited by 183 publications

(114 citation statements)

References 25 publications

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“…Spillovers to oil-producing countries are also larger as they additionally experience a fall in oil export revenues as oil prices decline, which impacts negatively on their domestic demand by dampening consumption, investment and government expenditures. Overall, the magnitude of the spillovers implied by ECB-Global are consistent with those estimated in the literature (see Kim, 2001;Dedola et al, 2015;Feldkircher and Huber, 2015;Georgiadis, 2016).…”

Section: Us Monetary Policy Shocksupporting

confidence: 88%

ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis

et al. 2018

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Section: Us Monetary Policy Shocksupporting

confidence: 88%

ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis

et al. 2018

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“…The reported zero response of an EA wide aggregate of real credit by Dedola et al (2017) to a contractionary US monetary policy shock may very well arise due to the underlying heterogeneity among the individual countries uncovered here. A similar reasoning applies to the broad range of results regarding the direction of the responses of output reported previously in the literature.…”

Section: Discussionmentioning

confidence: 85%

“…Following Uhlig (2005) and Fry and Pagan (2011), I employ sign restrictions and combine them with magnitude restrictions that identify a traditional contractionary US monetary policy shock along the lines of Gertler and Karadi (2015), Luciani (2015) and Dedola et al (2017). As the impact of the shock on the US economy itself is only of minor interest here I apply a range of restrictions the aforementioned literature attributes to a US policy shock 1 See Section 5.3 for a discussion of conceptual issues regarding the use of Shadow Rates.…”

Section: Identificationmentioning

confidence: 99%

“…a recession in the US spreads globally through weakened demand (Kim, 1999;Georgiadis, 2016;Banerjee et al, 2016). However, several studies document mixed effects (Maćkowiak, 2007;Bluedorn, Bowdler, 2011;Dedola et al, 2017) while some even suggest the shock to have expansionary effects abroad (Canova, 2005;Neri and Nobili, 2010). Furthermore, the transmission channels, through which the shock proliferates, and the relative strength of these mechanisms, are discussed controversially (Bernanke, 2017).…”

Section: Introductionmentioning

confidence: 99%

“…Georgiadis (2016) estimates a larger-scale global VAR (GVAR) that enlarges the number of countries under considerations but remains limited regarding the of number variables on the country level. Dedola et al (2017) attempt to overcome this issue by first estimating the monetary policy shock in a medium-scale US VAR model. In a second step, third-country variables are regressed one by one on the shock.…”

Section: Introductionmentioning

confidence: 99%

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US Monetary Policy and the Euro Area

Hanisch

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis study investigates the international spillover effects of contractionary US monetary policy and its transmission channels on members of the euro area (EA) before and after the implementation of the euro. I find the multilateral spillover effects on individual EA economies' real activity and inflation to be asymmetric, i.e. the responses are mainly expansionary but not exclusively so. While the effects are diverse and rather large before 1999, responses become more homogeneous and smaller in size after the implementation of the euro. However, country-specific asymmetries remain. Trade and interest rates but also credit, stock and housing markets are identified as important transmission channels.JEL Classification: C32, E52, E58

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Monetary policy trilemma, inflation targeting and global financial crisis

Gülşen

Özmen

2019

Int. J Fin Econ

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We empirically investigate the validity of the monetary policy trilemma postulation for emerging market (EME) and advanced (AE) economies under different exchange rate and monetary policy regimes before and after the recent global financial crisis (GFC). Consistent with the dilemma proposition, domestic interest rates are determined by global financial conditions and the FED rate even under floating exchange rate regimes (ERR) in the long‐run. The impact of the FED rates is higher in EME than AE and EME are much more sensitive to global financial cycle under managed than floating ERR. The spillover from the FED rate substantially increases after the GFC in EME with floating ERR and AE. The results from the monetary policy reaction functions based on equilibrium correction mechanism specifications suggest that domestic interest rates respond to inflation and output gaps especially under inflation targeting (IT) in the short‐run. The response to inflation gap tends to be smaller in IT AE after the GFC.

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If the Fed sneezes, who catches a cold?

Cited by 183 publications

References 25 publications

ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis

ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis

US Monetary Policy and the Euro Area

Monetary policy trilemma, inflation targeting and global financial crisis

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