Global spillovers from multi-dimensional US monetary policy

• 成果类型: Article
• 署名作者: Georgiadis, Georgios; Jarocinski, Marek
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104169
• 发表日期: 2025
• 关键词: Monetary policy spillovers; US monetary policy shocks; Central bank information effects; high-frequency identification

摘要

We estimate international spillovers from both conventional and unconventional US monetary policy. We use novel measures of exogenous variation in conventional policy, forward guidance and large-scale asset purchases (LSAPs), based on high-frequency asset price surprises around a broad set of Federal Reserve communications. The identification relies on relatively weak assumptions and accounts for potential endogenous policy components-including central bank information effects-in these asset price surprises. We find that: (i) conventional policy, forward guidance and LSAPs all generate large and comparable spillovers; (ii) these spillovers transmit through trade and financial channels to a similar extent; (iii) LSAPs trigger immediate international portfolio rebalancing between US and foreign bonds that are relatively close substitutes, but they produce only limited spillovers in term premia; (iv) all Fed policy measures create trade-offs for emerging market monetary policy between stabilizing output and prices vs. ensuring financial stability, particularly with regard to capital inflows.