Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy
研究了美国货币政策冲击如何通过全球生产网络影响各国各行业的股票回报，发现近70%的总影响来自生产网络的传导效应。
ABSTRACT We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country‐sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open‐economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empirical counterfactuals show that shutting down global production linkages halves the total impact of U.S. monetary policy shocks.