University of Calgary

International Monetary Policy Spillovers

by Serletis, Apostolos and Nsafoah, Dennis

This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzer- land, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the e¤ects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically signi…cant spillover e¤ects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically signi…cant e¤ect on the monetary policy rate of each of the other countries.

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