RDP 2019-03: Explaining Monetary Spillovers: The Matrix Reloaded References

Adrian T and HS Shin (2010), ‘Financial Intermediaries and Monetary Economics’, in BM Friedman and M Woodford (eds), Handbook of Monetary Economics: Volume 3A, Handbooks in Economics, Elsevier, Amsterdam, pp 601–650.

Ahmed S, B Coulibaly and A Zlate (2017), ‘International Financial Spillovers to Emerging Market Economies: How Important Are Economic Fundamentals?’, Journal of International Money and Finance, 76, pp 133–152.

Aizenman J, M Binici and MM Hutchison (2016), ‘The Transmission of Federal Reserve Tapering News to Emerging Financial Markets’, International Journal of Central Banking, 12(2), pp 317–356.

Aizenman J, MD Chinn and H Ito (2016), ‘Monetary Policy Spillovers and the Trilemma in the New Normal: Periphery Country Sensitivity to Core Country Conditions’, Journal of International Money and Finance, 68, pp 298–330.

Ammer J, M De Pooter, C Erceg and S Kamin (2016), ‘International Spillovers of Monetary Policy’, Board of Governors of the Federal Reserve System, IFPD Notes, 8 February.

Ammer J, C Vega and J Wongswan (2010), ‘International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices’, Journal of Money, Credit and Banking, 42(s1), pp 179–198.

Andersen TG, T Bollerslev, FX Diebold and C Vega (2007), ‘Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets’, Journal of International Economics, 73(2), pp 251–277.

Bauer MD and CJ Neely (2014), ‘International Channels of the Fed's Unconventional Monetary Policy’, Journal of International Money and Finance, 44, pp 24–46.

Baxter M and MA Kouparitsas (2005), ‘Determinants of Business Cycle Comovement: A Robust Analysis’, Journal of Monetary Economics, 52(1), pp 113–157.

Bekaert G, M Hoerova and M Lo Duca (2013), ‘Risk, Uncertainty and Monetary Policy’, Journal of Monetary Economics, 60(7), pp 771–788.

Borio C and H Zhu (2012), ‘Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?’, Journal of Financial Stability, 8(4), pp 236–251.

Bowman D, JM Londono and H Sapriza (2015), ‘U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies’, Journal of International Money and Finance, 55, pp 27–59.

Bredin D, S Hyde and GO Reilly (2010), ‘Monetary Policy Surprises and International Bond Markets’, Journal of International Money and Finance, 29(6), pp 988–1002.

Bruno V and HS Shin (2015), ‘Capital Flows and the Risk-Taking Channel of Monetary Policy’, Journal of Monetary Economics, 71, pp 119–132.

Brusa F, P Savor and M Wilson (2018), ‘One Central Bank to Rule Them All’, University of Oxford, Saïd Business School Working Paper, August.

Campbell JR, CL Evans, JDM Fisher and A Justiniano (2012), ‘Macroeconomic Effects of Federal Reserve Forward Guidance’, Brookings Papers on Economic Activity, Spring, pp 1–54.

Cerutti E, S Claessens and AK Rose (2017), ‘How Important is the Global Financial Cycle? Evidence from Capital Flows’, BIS Working Papers No 661.

Chen Q, A Filardo, D He and F Zhu (2016), ‘Financial Crisis, US Unconventional Monetary Policy and International Spillovers’, Journal of International Money and Finance, 67, pp 62–81.

Christensen JHE and GD Rudebusch (2012), ‘The Response of Interest Rates to US and UK Quantitative Easing’, The Economic Journal, 122(564), pp F385–F414.

Ciccarelli M and B Mojon (2010), ‘Global Inflation’, The Review of Economics and Statistics, 92(3), pp 524–535.

Craine R and VL Martin (2008), ‘International Monetary Policy Surprise Spillovers’, Journal of International Economics, 75(1), pp 180–196.

Curcuru SE, SB Kamin, C Li and M Rodriguez (2018), ‘International Spillovers of Monetary Policy: Conventional Policy vs. Quantitative Easing’, Board of Governors of the Federal Reserve System International Finance Discussion Paper No 1234.

Dahlquist M and H Hasseltoft (2013), ‘International Bond Risk Premia’, Journal of International Economics, 90(1), pp 17–32.

De Grauwe P and G Schnabl (2008), ‘Exchange Rate Stability, Inflation, and Growth in (South) Eastern and Central Europe’, Review of Development Economics, 12(3), pp 530–549.

Dedola L, G Rivolta and L Stracca (2017), ‘If the Fed Sneezes, Who Catches a Cold?’, Journal of International Economics, 108(Supplement 1), pp S23–S41.

Devereux MB and J Yetman (2010), ‘Leverage Constraints and the International Transmission of Shocks’, Journal of Money, Credit and Banking, 42(s1), pp 71–105.

Diebold FX, M Piazzesi and GD Rudebusch (2005), ‘Modeling Bond Yields in Finance and Macroeconomics’, The American Economic Review, 95(2), pp 415–420.

Edwards S (2015), ‘Monetary Policy Independence under Flexible Exchange Rates: An Illusion?’, The World Economy, 38(5), pp 773–787.

Ehrmann M and M Fratzscher (2003), ‘Monetary Policy Announcements and Money Markets: A Transatlantic Perspective’, International Finance, 6(3), pp 309–328.

Ehrmann M and M Fratzscher (2005), ‘Equal Size, Equal Role? Interest Rate Interdependence between the Euro Area and the United States’, The Economic Journal, 115(506), pp 928–948.

Ehrmann M and M Fratzscher (2009), ‘Global Financial Transmission of Monetary Policy Shocks’, Oxford Bulletin of Economics and Statistics, 71(6), pp 739–759.

Faust J, JH Rogers, S-YB Wang and JH Wright (2007), ‘The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements’, Journal of Monetary Economics, 54(4), pp 1051–1068.

Ferrari M, J Kearns and A Schrimpf (2017), ‘Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates’, BIS Working Papers No 626.

Forbes KJ and MD Chinn (2004), ‘A Decomposition of Global Linkages in Financial Markets over Time’, The Review of Economics and Statistics, 86(3), pp 705–722.

Fratzscher M, M Lo Duca and R Straub (2016), ‘ECB Unconventional Monetary Policy: Market Impact and International Spillovers’, IMF Economic Review, 64(1), pp 36–74.

Fratzscher M, M Lo Duca and R Straub (2018), ‘On the International Spillovers of US Quantitative Easing’, The Economic Journal, 128(608), pp 330–377.

Fukuda Y, Y Kimura, N Sudo and H Ugai (2013), ‘Cross-Country Transmission Effect of the U.S. Monetary Shock under Global Integration’, Bank of Japan Working Paper Series No 13-E-16.

Gagnon J, M Raskin, J Remache and B Sack (2011), ‘The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases’, International Journal of Central Banking, 7(1), pp 3–43.

Georgiadis G (2016), ‘Determinants of Global Spillovers from US Monetary Policy’, Journal of International Money and Finance, 67, pp 41–61.

Gilchrist S, V Yue and E Zakrajšek (2014), ‘U.S. Monetary Policy and Foreign Bond Yields’, Paper presented at the IMF 15th Jacques Polak Annual Research Conference ‘Cross-Border Spillovers’, Washington DC, 13–14 November.

Gürkaynak RS, B Sack and ET Swanson (2005), ‘Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements’, International Journal of Central Banking, 1(1), pp 55–93.

Gürkaynak RS and JH Wright (2012), ‘Macroeconomics and the Term Structure’, Journal of Economic Literature, 50(2), pp 331–367.

Han X and S-J Wei (2016), ‘International Transmissions of Monetary Shocks: Between a Trilemma and a Dilemma’, NBER Working Paper No 22812.

Hausman J and J Wongswan (2011), ‘Global Asset Prices and FOMC Announcements’, Journal of International Money and Finance, 30(3), pp 547–571.

Hofmann B and E Takáts (2015), ‘International Monetary Spillovers’, BIS Quarterly Review, September, pp 105–118.

Jotikasthira C, A Le and C Lundblad (2015), ‘Why Do Term Structures in Different Currencies Co-Move?’, Journal of Financial Economics, 115(1), pp 58–83.

Kim S-J and DQT Nguyen (2009), ‘The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets’, Journal of International Financial Markets, Institutions & Money, 19(3), pp 415–431.

Kose MA, C Otrok and CH Whiteman (2003), ‘International Business Cycles: World, Region, and Country-Specific Factors’, The American Economic Review, 93(4), pp 1216–1239.

Krishnamurthy A, S Nagel and A Vissing-Jorgensen (2017), ‘ECB Policies Involving Government Bond Purchases: Impacts and Channels’, NBER Working Paper No 23985.

Krishnamurthy A and A Vissing-Jorgensen (2011), ‘The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy’, Brookings Papers on Economic Activity, Fall, pp 215–265.

MacDonald M (2017), ‘International Capital Market Frictions and Spillovers from Quantitative Easing’, Journal of International Money and Finance, 70, pp 135–156.

Malamud S and A Schrimpf (2018), ‘An Intermediation-Based Model of Exchange Rates’, Swiss Finance Institute Research Paper Series No 18-14.

Miranda-Agrippino S and H Rey (2015), ‘US Monetary Policy and the Global Financial Cycle’, NBER Working Paper No 21722, rev February 2018.

Mishra P, K Moriyama, P N′Diaye and L Nguyen (2014), ‘Impact of Fed Tapering Announcements on Emerging Markets’, IMF Working Paper No WP/14/109.

Miyajima K, MS Mohanty and J Yetman (2014), ‘Spillovers of US Unconventional Monetary Policy to Asia: The Role of Long-Term Interest Rates’, BIS Working Papers No 478.

Nakamura E and J Steinsson (2018), ‘High-Frequency Identification of Monetary Non-Neutrality: The Information Effect’, The Quarterly Journal of Economics, 133(3), pp 1283–1330.

Neely CJ (2010), ‘The Large-Scale Asset Purchases Had Large International Effects’, Federal Reserve Bank of St. Louis Working Paper No 2010-018C, rev January 2011.

Neely CJ and DE Rapach (2011), ‘International Comovements in Inflation Rates and Country Characteristics’, Journal of International Money and Finance, 30(7), pp 1471–1490.

Obstfeld M (2015), ‘Trilemmas and Trade-Offs: Living with Financial Globalisation’, BIS Working Papers No 480.

Rey H (2013), ‘Dilemma not Trilemma: The Global Cycle and Monetary Policy Independence’, in Global Dimensions of Unconventional Monetary Policy, A Symposium Sponsored by the Federal Reserve Bank of Kansas City, Kansas City, pp 285–333.

Rey H (2016), ‘International Channels of Transmission of Monetary Policy and the Mundellian Trilemma’, IMF Economic Review, 64(1), pp 6–35.

Rogers JH, C Scotti and JH Wright (2014), ‘Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Multi-Country Review’, Economic Policy, 29(80), pp 749–799.

Rogers JH, C Scotti and JH Wright (2016), ‘Unconventional Monetary Policy and International Risk Premia’, Board of Governors of the Federal Reserve System International Finance Discussion Paper No 1172.

Shah N (2018), ‘Monetary Spillovers in Financial Markets: Policymakers and Premia’, Job Market Paper, Harvard University, January.

Shambaugh JC (2004), ‘The Effect of Fixed Exchange Rates on Monetary Policy’, The Quarterly Journal of Economics, 119(1), pp 301–352.

Shin HS (2017), ‘Accounting for Global Liquidity: Reloading the Matrix’, Speech given at the IBRN-IMF Joint Conference ‘The Transmission of Macroprudential Policies across Borders’, Washington DC, 19 April.

Swanson ET (2016), ‘Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets’, Paper presented at the 2016 Annual Meeting of the Society for Economic Dynamics, Toulouse, 30 June–2 July.

Swanson ET and JC Williams (2014), ‘Measuring the Effect of the Zero Lower Bound on Yields and Exchange Rates in the U.K. and Germany’, Journal of International Economics, 92(Supplement 1), pp S2–S21.

Takáts E and A Vela (2014), ‘International Monetary Policy Transmission’, in The Transmission of Unconventional Monetary Policy to the Emerging Markets, BIS Papers No 78, Bank for International Settlements, Basel, pp 51–70.

Wongswan J (2006), ‘Transmission of Information across International Equity Markets’, The Review of Financial Studies, 19(4), pp 1157–1189.

Wongswan J (2009), ‘The Response of Global Equity Indexes to U.S. Monetary Policy Announcements’, Journal of International Money and Finance, 28(2), pp 344–365.

Wright JH (2012), ‘What Does Monetary Policy Do to Long-Term Interest Rates at the Zero Lower Bound?’, The Economic Journal, 122(564), pp F447–F466.

Zhang T (2018), ‘Monetary Policy Spillovers through Invoicing Currencies’, PhD Dissertation, University of Chicago, June.