Journal of Macroeconomics ( IF 1.3 ) Pub Date : 2021-07-16 , DOI: 10.1016/j.jmacro.2021.103345 Małgorzata Walerych 1 , Grzegorz Wesołowski 1
This paper presents evidence that the international spillovers of both Fed and ECB conventional monetary policies to Emerging Market Economies (EMEs) are global. The result comes from the panel Bayesian Vector Autoregressive (BVAR) model estimated for EMEs in which we control i.a. for foreign central banks’ policy shocks. Furthermore, in the separate BVAR model for Central and Eastern European (CEE) countries we show that the ECB is the main foreign central bank for these economies — after controlling for its shocks, their Fed counterparts play a very moderate role in driving GDP and prices in CEE.
中文翻译:
美联储和欧洲央行货币政策对新兴市场经济体的溢出效应
本文提供的证据表明,美联储和欧洲央行常规货币政策对新兴市场经济体 (EME) 的国际溢出效应是全球性的。结果来自为新兴市场经济体估计的面板贝叶斯向量自回归 (BVAR) 模型,其中我们控制了外国央行政策冲击的 ia。此外,在中欧和东欧 (CEE) 国家的单独 BVAR 模型中,我们表明欧洲央行是这些经济体的主要外国央行——在控制了冲击之后,美联储的同行在推动 GDP 和价格方面发挥了非常温和的作用在中东欧。