Arbeitspapier
What explains international interest rate co-movement?
We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most foreign interest rates, while expansionary local supply and demand shocks increase them. To disentangle determinants of international interest rate co-movement, we use a Bayesian structural panel vector autoregressive model accounting for latent global supply and demand shocks. We identify country-specific structural shocks via informative prior distributions based on a standard theoretical multi-country open economy model.
- Sprache
-
Englisch
- Erschienen in
-
Series: IWH Discussion Papers ; No. 3/2023
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Monetary Policy
International Policy Coordination and Transmission
- Thema
-
informative priors
panel vector autoregressions
spillovers
structural vector autoregressions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Camehl, Annika
von Schweinitz, Gregor
- Ereignis
-
Veröffentlichung
- (wer)
-
Halle Institute for Economic Research (IWH)
- (wo)
-
Halle (Saale)
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Camehl, Annika
- von Schweinitz, Gregor
- Halle Institute for Economic Research (IWH)
Entstanden
- 2023
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