What goes around comes around: How large are spillbacks from US monetary policy?

• 成果类型: Article
• 署名作者: Breitenlechner, Max; Georgiadis, Georgios; Schumann, Ben
• 署名单位: University of Innsbruck; European Central Bank; Free University of Berlin
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.07.001
• 发表日期: 2022
• 页码: 45-60
• 关键词: US monetary policy; spillovers; Spillbacks; Bayesian proxy structural VAR models

摘要

Spillovers from US monetary policy entail spillbacks to the domestic economy. Applying counterfactual analyses in a Bayesian proxy structural vector-autoregressive model we find that spillbacks account for a non-trivial share of the slowdown in domestic real activity following a contractionary US monetary policy shock. Spillbacks materialise as a mone-tary policy tightening depresses foreign sales and valuations of US firms so that Tobin's q/cash flow and stock market wealth effects impinge on investment and consumption. Net trade does not contribute to spillbacks because US monetary policy affects exports and im-ports similarly. Geographically, spillbacks materialise through advanced rather than emerg-ing market economies.(c) 2022 Elsevier B.V. All rights reserved.