International Dynamic Spillovers of Monetary Policy：Evidence from the Quantile Connectedness

This paper examines the cross-border monetary policy spillovers of the US, Japan, the Euro Area, the UK, Canada and China using a quantile vector autoregression (QVAR) model-based spillover estimation approach. We conclude that: first, the US is the most important net transmitter of monetary policy spillovers across quantiles, whereas China and Japan are the main net receivers of spillovers at two tail quantiles and middle quantile, respectively; the total spillover effects of monetary policy under extreme conditions are higher than that under normal condition, especially under extreme lower condition. Second, in the face of common shocks, the total spillover indices of monetary policy show an upward trend; the net spillover effects of the Euro Area, the UK and Canada descend under extreme conditions; the net spillover effects of the US to other economies are heterogeneous at different quantiles and time points. Third, under different conditional quantiles, the total spillover index and directional spillover indices of monetary policy present roughly “U” pattern and asymmetric characteristics. These findings provide empirical reference for countries to effectively deal with the international monetary spillovers under different cases