TY - JOUR
T1 - If the Fed sneezes, who catches a cold?
AU - Dedola, Luca
AU - Rivolta, Giulia
AU - Stracca, Livio
PY - 2017
Y1 - 2017
N2 - This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. In most countries, a surprise US monetary tightening leads to depreciation against the dollar; industrial production and real GDP fall, unemployment rises. Inflation declines especially in advanced economies. At the same time, there is significant heterogeneity across countries in the response of asset prices, and portfolio and banking cross-border flows. However, no clear-cut systematic relation emerges between country responses and likely relevant country characteristics, such as their income level, dollar exchange rate flexibility, financial openness, trade openness vs. the US, dollar exposure in foreign assets and liabilities, and incidence of commodity exports. 2017 Elsevier B.V. All rights reserved.
AB - This paper studies the international spillovers of US monetary policy shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. In most countries, a surprise US monetary tightening leads to depreciation against the dollar; industrial production and real GDP fall, unemployment rises. Inflation declines especially in advanced economies. At the same time, there is significant heterogeneity across countries in the response of asset prices, and portfolio and banking cross-border flows. However, no clear-cut systematic relation emerges between country responses and likely relevant country characteristics, such as their income level, dollar exchange rate flexibility, financial openness, trade openness vs. the US, dollar exposure in foreign assets and liabilities, and incidence of commodity exports. 2017 Elsevier B.V. All rights reserved.
KW - Capital mobility
KW - Identification of monetary shocks
KW - International transmission
KW - Trilemma
KW - Capital mobility
KW - Identification of monetary shocks
KW - International transmission
KW - Trilemma
UR - http://hdl.handle.net/10807/147141
U2 - 10.1016/j.jinteco.2017.01.002
DO - 10.1016/j.jinteco.2017.01.002
M3 - Article
SN - 0022-1996
VL - 108
SP - S23-S41
JO - Journal of International Economics
JF - Journal of International Economics
ER -