We assess the international spillovers of US monetary policy with a large-scale global VAR which models the world economy as a network of interdependent countries. An expansionary US monetary policy shock contributes to the emergence of a Global Financial Cycle, which boosts macroeconomic activity worldwide. We also find that economies with floating exchange rate regimes are not fully insulated from US monetary policy shocks and, even though they appear to be relatively less affected by the shocks, the differences in responses across exchange rate regimes are not statistically significant. The role of US monetary policy in driving these macro-financial spillovers gets even reinforced by the complex network of interactions across countries, to the extent that network effects roughly double the direct impacts of US monetary policy surprises on international equity prices, capital flows, and global growth. This amplification increases as countries get more globally integrated over time, suggesting that the evolving network is an important driver for the increasing role of US monetary policy in shaping the Global Financial Cycle.

我们使用大型全球VAR评估美国货币政策的国际溢出效应，该模型将世界经济建模为相互依存的国家/地区的网络。美国扩张性的货币政策冲击助长了全球金融周期的出现，从而推动了全球宏观经济活动。我们还发现，采用浮动汇率制度的经济体并未与美国的货币政策冲击完全隔离，即使它们似乎受到冲击的影响相对较小，但各汇率制度在反应上的差异在统计上并不显着。美国货币政策在推动这些宏观金融溢出效应中的作用甚至因各国之间复杂的互动网络而得到加强，在某种程度上，网络效应几乎是美国货币政策意外事件对国际股票价格，资本流动和全球增长的直接影响的两倍。随着各国随着时间的推移在全球范围内的一体化程度越来越高，这种放大作用增加，这表明不断发展的网络是美国货币政策在塑造全球金融周期中日益重要的重要推动力。