Stock Market Spillovers via the Global Production Network: Transmission of US Monetary Policy

• 成果类型: Article
• 署名作者: Di Giovanni, Julian; Hale, Galina
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); University of California System; University of California Santa Cruz; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13181
• 发表日期: 2022
• 页码: 3373-3421
• 关键词: international transmission; macroeconomic impact; Wild Bootstrap; TRADE; shocks; aggregate; RISK; GLOBALIZATION; INFORMATION; comovements

摘要

We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country-sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open-economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empirical counterfactuals show that shutting down global production linkages halves the total impact of U.S. monetary policy shocks.