Explaining Monetary Spillovers: The Matrix Reloaded
采用高频识别方法，研究1999-2019年四大主要经济体对47个发达和新兴市场的货币政策溢出效应，发现美联储溢出效应大，欧央行溢出随时间增强，且金融联系渠道作用最强。
Abstract This paper relies on a high‐frequency identification approach to provide new insights into monetary policy spillovers by major central banks. Our long and broad sample (1999–2019, from four major economies to 47 advanced and emerging market economies) allows us to accurately identify the properties of spillovers and to shed light on different transmission channels. We find that spillovers by the Fed to foreign interest rates are economically large, but more surprisingly, document an intensification of spillovers by the European Central Bank over time. Spillovers are more significant to bond yields in advanced economies than they are to those in emerging markets. Differentiating across key spillover channels, we find strongest support for a financial links channel, but weaker evidence for the macroeconomic links channel and foreign exchange regime channel.