Transmission of US monetary policy to the world economies. A time varying multi-country factor augmented vector autoregressive approach

• Κύριος συγγραφέας: Ευγενίδης, Αναστάσιος
• Άλλοι συγγραφείς: Συριόπουλος, Κωνσταντίνος
• Μορφή: Thesis
• Γλώσσα: Greek
• Έκδοση: 2016
• Θέματα: Monetary policy; International transmission mechanism; FAVAR; Bayesian statistics; Time varying parameters; Νομισματική πολιτική; Μηχανισμός διεθνούς διάδοσης; 332.46

In this thesis, I examine the international transmission of US monetary policy shocks across euro area and Asian countries. For this purpose I use a time varying Factor Augmented VAR (FAVAR) model which I estimate by using Bayesian techniques. I first examine all the possible channels through which a policy shock is transmitted in each country. In general the transmission of the shock hides considerable heterogeneity across the countries. I find that trade balance is not a convincing channel in describing the pass through of policy shock in East Asia countries. Further investigation on the transmission in this region suggests that the wealth effects along with the world interest rate channel do explain the negative propagation of the US shock in in the GDP of Hong Kong, Philippines and Singapore. On the other hand, the exchange rate channel is suitable in explaining the GDP positive spillover effects in Korea and Japan. What is more, the foreign central banks of these two countries strongly respond to GDP increases -as a result of the US contractionary policy- by also increasing their short term rates. As concerns euro area, this endogenous response of central banks also holds for all the countries in the sample. Amongst the oher channels, the wealth effect through the exchange rate channel seems adequate to describe the transmission of the shock in European countries. For Germany and Italy the decline in lending and spending reveal the importance of the balance sheet channel in the shock transmission. Second, in the current thesis I investigate to what extent the transmission mechanism has changed through the years. I focus on two important worldwide phenomena, the effect of the globalization and the recent US financial crisis. I find that the impact of the shock in all economic variables in most of the non US countries has fallen under global integration. For the 2007 financial crisis, our results indicate that the majority of the countries in both regions witness an increase in the size of the shok to real activity, inflation and credit variables in the post crisis period.