Monetary Policy Spillovers through Invoicing Currencies

• 成果类型: Article
• 署名作者: Zhang, Tony
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13071
• 发表日期: 2022
• 页码: 129-161
• 关键词: exchange-rates; surprises; prices

摘要

This paper explores the role of trade invoicing currencies in the international spillover of monetary policy. Using high-frequency measures of Federal Reserve monetary policy shocks, I show that exchange rates, interest rates, and equity returns in countries with a larger share of dollar-invoiced imports systematically respond more to U.S. monetary policy. I document similar transmission effects from European Central Bank (ECB) monetary policy shocks to countries with euro-invoiced imports. I rationalize these findings within a New Keynesian framework. As a result of these spillovers, domestic monetary policy should be less effective in countries with traded goods invoiced in foreign currencies.