Central bank information effects and transatlantic spillovers

• 成果类型: Article
• 署名作者: 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.2022.103683
• 发表日期: 2022
• 关键词: International policy transmission; monetary policy shocks; high-frequency identification; structural VAR

摘要

News about the economy contained in a central bank announcement can affect public expec-tations. This paper shows, using both event studies and vector autoregressions, that such cen-tral bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, and for most of this co-movement around ECB policy announcements. Consequently, ECB surprise interest rate hikes that spill over to US gov-ernment bond yields reflect good news and are followed on average by easier, not tighter, US financial conditions and an economic expansion. In fact, they spill over similarly as positive European macroeconomic news surprises. By contrast, pure ECB monetary policy shocks do not spill over, in part because of the offsetting Fed policy stance.(c) 2022 Elsevier B.V. All rights reserved.