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Federal Reserve Bank of Richmond
Working Paper
Monetary Policy across Space and Time
Laura Liu
Christian Matthes
Katerina Petrova
Abstract

In this paper we ask two questions: (i) is the conduct of monetary policy stable across time and similar across major economies, and (ii) do policy decisions of major central banks have international spillover effects. To address these questions, we build on recent semi-parametric advances in time-varying parameter models that allow us to increase the VAR dimension and to jointly model three advanced economies (US, UK, and the Euro Area). In order to study policy spillovers, we jointly identify three economy-specific monetary policy shocks using a combination of sign and magnitude restrictions.


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Laura Liu & Christian Matthes & Katerina Petrova, Monetary Policy across Space and Time, Federal Reserve Bank of Richmond, Working Paper 18-14, 13 Aug 2018.
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Keywords: Monetary policy spillovers; time-varying parameters; changing volatility
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