International Monetary Policy Transmission

Abstract

This paper assesses the macroeconomic effects of international monetary policy transmission for the United States, the United Kingdom and the Euro area. We use a Bayesian Structural VAR in order to capture international linkages and to trace the dynamic responses of the macroeconomic variables. The monetary policy shocks of the three regions are identified through the combination of prior information on the structural model and exogenous instruments for monetary policy shocks.