When the Fed sneezes, the whole world catches the cold, when the ECB - only Europe

Walerych, Małgorzata and Wesołowski, Grzegorz (2020): When the Fed sneezes, the whole world catches the cold, when the ECB - only Europe.

Abstract

This paper presents evidence that the international spillovers of Fed's conventional monetary policy to emerging markets are global, while their ECB's counterparts are local. The result comes from panel Bayesian Vector Autoregressive model estimated separately for two groups of countries: Central Eastern Europe (CEE) and Latin America (LA). In this setup, we investigate the impact of unanticipated and anticipated Fed and ECB montetary policy shocks, showing that the former affect both regions, while the latter are important for CEE and insignificant for LA.

• Item Type: MPRA Paper
• Language: English
• Keywords: Monetary policy spillovers, international business cycles, emerging economies
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F44 - International Business Cycles

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