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The Global Financial Cycle and Us Monetary Policy in An Interconnected World

dc.rights.licenseopenen_US
hal.structure.identifierLaboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
dc.contributor.authorDÉES, Stéphane
dc.contributor.authorGALESI, Alessandro
dc.date.accessioned2022-05-23T08:54:12Z
dc.date.available2022-05-23T08:54:12Z
dc.date.issued2021-07
dc.identifier.issn0261-5606en_US
dc.identifier.urioai:crossref.org:10.1016/j.jimonfin.2021.102395
dc.identifier.urioai:crossref.org:10.2139/ssrn.3507497
dc.identifier.urioai:crossref.org:10.2139/ssrn.3497488
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/140095
dc.description.abstractEnWe assess the international spillovers of US monetary policy with a large-scale global VAR which models the world economy as a network of interdependent countries. An expansionary US monetary policy shock contributes to the emergence of a Global Financial Cycle, which boosts macroeconomic activity worldwide. We also find that economies with floating exchange rate regimes are not fully insulated from US monetary policy shocks and, even though they appear to be relatively less affected by the shocks, the differences in responses across exchange rate regimes are not statistically significant. The role of US monetary policy in driving these macro-financial spillovers gets even reinforced by the complex network of interactions across countries, to the extent that network effects roughly double the direct impacts of US monetary policy surprises on international equity prices, capital flows, and global growth. This amplification increases as countries get more globally integrated over time, suggesting that the evolving network is an important driver for the increasing role of US monetary policy in shaping the Global Financial Cycle.
dc.language.isoENen_US
dc.sourcecrossref
dc.subject.enTrilemma
dc.subject.enGlobal financial cycle
dc.subject.enMonetary policy spillovers
dc.subject.enNetwork effects
dc.title.enThe Global Financial Cycle and Us Monetary Policy in An Interconnected World
dc.typeArticle de revueen_US
dc.identifier.doi10.1016/j.jimonfin.2021.102395en_US
dc.subject.halSciences de l'Homme et Société/Economies et financesen_US
dc.subject.jelC - Mathematical and Quantitative Methods::C3 - Multiple or Simultaneous Equation Models; Multiple Variables::C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Modelsen_US
dc.subject.jelE - Macroeconomics and Monetary Economics::E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit::E52 - Monetary Policyen_US
dc.subject.jelF - International Economics::F4 - Macroeconomic Aspects of International Trade and Finance::F40 - Generalen_US
bordeaux.journalJournal of International Money and Financeen_US
bordeaux.page102395en_US
bordeaux.volume115en_US
bordeaux.hal.laboratoriesLaboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954en_US
bordeaux.institutionUniversité de Bordeauxen_US
bordeaux.institutionCNRSen_US
bordeaux.peerReviewedouien_US
bordeaux.inpressnonen_US
bordeaux.import.sourcedissemin
hal.identifierhal-03777416
hal.version1
hal.date.transferred2022-09-14T14:24:29Z
hal.exporttrue
workflow.import.sourcedissemin
dc.rights.ccPas de Licence CCen_US
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