文章基本信息

标题：International monetary spillovers
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作者：Boris Hofmann ; Előd Takáts
期刊名称：BIS Quarterly Review: International Banking and Financial Market Developments = BIZ-Quartalsbericht: Internationales Bankgeschäft und internationale Finanzmärkte
印刷版ISSN：1012-9979
出版年度：2015
卷号：2015
语种：English
出版社：Bank for International Settlements
摘要：Interest rates have moved closely together internationally in recent years, despite business cycles often being at different stages across countries. We investigate whether international monetary spillovers drove this co-movement, ie whether interest rates in core advanced economies drove interest rates elsewhere. Applying a fixed-effects panel regression to 30 emerging market and smaller open advanced economies over the post-2000 period, we find that (i) US short- and long-term interest rates significantly affect the corresponding rates in other economies and (ii) these price spillovers reflect in part policy spillovers, ie that US policy rates affect policy rates in other countries. These monetary spillovers imply that the interest rate declines seen over the last seven years in the United States have had a considerable impact on interest rates elsewhere.