International Spillovers of Forward Guidance Shocks
International Spillovers of Forward Guidance Shocks
复制标题
前向指引冲击的国际溢出效应
DOI：
10.5089/9781484353554.001
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Daniel M. Rees
中科院分区：
文献类型：
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作者：
Callum Jones;Mariano Kulish;Daniel M. Rees
我们在2009年后的样本中估计了美国和加拿大的两国模型，以研究前瞻性指引冲击的跨国溢出效应。为此，我们提出了一种方法来确定在固定利率制度的前瞻性指导冲击。美国的前瞻性指引冲击比传统货币政策冲击的影响更大。第二季度的扩张性前瞻性指导冲击使加拿大产出下降约0.2%至0.4%。与传统的政策冲击不同，美国前瞻性指引冲击对加拿大产出的影响在很大程度上取决于美国风险溢价冲击的状况。预计的前瞻性指引冲击与美国重大货币政策公告相吻合，例如引入基于日历的指引。
We estimate a two-country model of the US and Canada over the post 2009 sample to study the cross-country spillovers of forward guidance shocks. To do so, we propose a method to identify forward guidance shocks during the fixed interest rate regime. US forward guidance shocks have a larger impact than conventional monetary policy shocks. A 2 quarter expansionary forward guidance shock decreases Canadian output by about 0.2% to 0.4% on impact. The effect of US forward guidance shocks on Canadian output, unlike conventional policy shocks, depends crucially on the state of the US risk premium shock. The estimated forward guidance shocks coincide with significant US monetary policy announcements such as the introduction of calendar based guidance.