Exploring the Information Effects of Monetary Policy on Global Financial Cycle

This study aims to analyze the information effects of US monetary policy on the global financial cycle. By combining external instruments and narrative sign restrictions, we are able to identify monetary policy and central bank information shocks. The results show that a tightening monetary policy shock has a contractionary effect on the global financial cycle. Conversely, a positive central bank information shock that raises interest rates has an expansionary effect on the global financial cycle. Furthermore, we find that both excess bond premium and exchange rates amplify international spillovers of central bank information shocks with the newly developed structural scenario analysis

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Year of publication:	[2023]
Authors:	Yang, Yang ; Zhang, Ren
Publisher:	[S.l.] : SSRN
Subject:	Geldpolitik \| Monetary policy \| Internationaler Finanzmarkt \| International financial market \| Welt \| World

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