Unité mixte de recherche 7235

The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries

Irfan Akbar Kazi, Hakimzadi Wagan, Farhan Akbar

We study the changing international transmission of US monetary policy shocks to 14 major OECD countries over the period 1981Q1-2010Q4. We use a time-varying parameter factor augmented VAR approach to study the effective federal funds rate shocks together with a large data set of 265, major financial, macroeconomic and trade variables. Our main findings are as follows. First, negative US monetary policy shocks have considerable negative impact on GDP growth in the US, Canada, Japan and Sweden whereas there is positive impact on GDP growth in the most of the other member countries. Second, the transmission to GDP growth has increased in OECD countries since the early 1980s. Third, the transmission of US monetary policy shocks to major economic and financial variables varies in magnitude during financial turmoil periods than normal periods such as the gross fixed capital formation residential, turned most negative over the second quarter after the initial shock in the US, Canada, Germany, Japan, Switzerland and New Zealand mainly during 2008Q4. Asset prices, interest rates and trade channel seem to play major role in propagation of monetary policy shocks.

AGENDA

lundi 11 décembre 2023

Law, Institutions and Economics in Nanterre (LIEN)

Bastien Michel (LEMNA, Nantes)

Measuring the Impact of Incarceration on Recidivism in Denmark

mercredi 13 décembre 2023

Économies du monde musulman

Chahir Zaki (LEO, Université d’Orléans)

Dette en Egypte : conjoncture défavorable ou structure vulnérable ?

jeudi 14 décembre 2023

Lunch

Hugo ORIOLA

Salle 101-102 à 12h

Opportunistic Political Central Bank Coverage: Does media coverage of ECB’s Monetary Policy Impacts German Political Parties’ Popularity?

jeudi 14 décembre 2023

Développement Durable Environnement et Energie (DDEE)

Emeline Bezin (CNRS/CREM)

Salle 101-102

TBA

jeudi 14 décembre 2023

Séminaire Econom’IA

Benjamin Ooghe-Tabanou (médialab - Sciences Po Paris)

Salle G614A de 11h à 12h30

Outils, méthodes et productions numériques à partir de données du web au médialab de Sciences Po

lundi 18 décembre 2023

Law, Institutions and Economics in Nanterre (LIEN)

Rémi Suchon (U Catholique de Lille)

TBA

jeudi 21 décembre 2023

Groupe de travail Economie Comportementale

Moustapha Sarr

TBA

jeudi 21 décembre 2023

Doctorants

Zoltán Szücs

L’économie du policing – le cas d’une police de tranquillité publique, la nouvelle police municipale de Paris

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