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on International Finance |
| By: | Riccardo Degasperi; Seokki Simon Hong; Giovanni Ricco (Departement of Economics - University of Warwick - University of Warwick [Coventry]) |
| Abstract: | We quantify global US monetary policy spillovers by employing a high-frequency identification and big data techniques, in conjunction with a large harmonised dataset covering 30 economies. We report three novel stylised facts. First, a US monetary policy tightening has large contractionary effects onto both advanced and emerging economies. Second, flexible exchange rates cannot fully insulate domestic economies, due to movements in risk premia that limit central banks' ability to control the yield curve. Third, financial channels dominate over demand and exchange rate channels in the transmission to real variables, while the transmission via oil and commodity prices determines nominal spillovers. |
| Keywords: | monetary policy,trilemma,exchange rates,monetary policy spillovers |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03373749&r= |
| By: | Wache, Benjamin |
| JEL: | F3 G14 N2 N7 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc21:242444&r= |
| By: | Jean-Charles Bricongne; Antoine Cosson; Albane Garnier-Sauveplane; Rémy Lecat; Irena Peresa; Yuliya Vanzhulova |
| Abstract: | This paper analyzes the impact on financial flows of institutional factors promoting financial integration such as European integration or trying to tame them such as capital control or macro-prudential policies. We use a detailed database of bilateral financial assets and construct gravity models, for foreign direct investment, portfolio flows and other investments. Capital control policies have limited and disparate effects, being particularly effective through restrictions on inward flows for destination countries. The impacts of macro-prudential measures are complex, with macro-prudential measures in the origin country financial sector having a positive impact on outward capital flows and macroprudential measures in destination countries having a negative impact on inward capital flows. European integration has played a positive role on financial flows. We also emphasize the benefits of cooperation between the origin and destination countries, both for capital control and macro-prudential measures. |
| Keywords: | Gravity Equation, International Financial Assets and Flows, Macro-Prudential Measures, Restrictions to Financial Flows, European Integration |
| JEL: | F38 G15 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:842&r= |