by
Serletis, Apostolos and
Nsafoah, DennisThis 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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