International spillovers of forward guidance shocks

Summary We estimate a two‐country model of the United States and Canada over the post 2009 sample to study the cross‐country spillovers of forward guidance shocks. To do so, we propose a method to identify forward guidance shocks during the fixed interest rate regime. The estimated forward guidance...

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Veröffentlicht in:	Journal of applied econometrics (Chichester, England) England), 2022-01, Vol.37 (1), p.131-160
Hauptverfasser:	Jones, Callum, Kulish, Mariano, Rees, Daniel M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics forward guidance shocks identification Identification methods Interest rates Monetary policy open economy Spillover effect spillovers zero Lower Bound
Online-Zugang:	Volltext
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