Spillovers of US interest rates: Monetary policy & information effects

• 成果类型: Article
• 署名作者: Camara, Santiago
• 署名单位: McGill University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104059
• 发表日期: 2025
• 关键词: Monetary policy; Advanced economies; Emerging markets; International spillovers; Exchange rates; Monetary policy spillovers

摘要

This paper quantifies the international spillovers of U.S. interest rates by accounting for the Fed Response to News channel. Using the identification strategy of Bauer and Swanson (2023a), we decompose monetary policy surprises into two components: a pure U.S. monetary policy shock and a Fed Response to News component around FOMC meetings. I find that a U.S. monetary tightening driven by pure policy shocks causes a global recessions, exchange rate depreciation, and tighter financial conditions. In contrast, a tightening driven by the Fed Response to News channel leads to an economic expansion, exchange rate appreciation, and looser financial conditions. Ignoring the Fed Response to News channel biases estimates, explaining recent atypical findings of expansionary impacts. By isolating these components, I reconcile traditional and recent views of monetary policy spillovers. Results are robust across advanced and emerging economies, alternative methods, and identification strategies.