Search Results

SORT BY: PREVIOUS / NEXT
Keywords:Monetary policy spillovers 

Working Paper
The Dollar Channel of Monetary Policy Transmission

This paper documents a new dollar channel that transmits monetary policy across borders. Exploiting unique features of the syndicated loan market for identification, we show that changes in the euro-dollar exchange rate around ECB monetary policy announcements that are orthogonal to simultaneous changes in euro-area interest rates and stock prices affect U.S. leveraged loan spreads. Specifically, in response to dollar appreciation, investors require higher compensation for risk, and borrowing costs for U.S. firms increase. These findings imply a causal link between the U.S. dollar and ...
Working Paper Series , Paper WP 2025-06

Working Paper
The Effect of U.S. Stress Tests on Monetary Policy Spillovers to Emerging Markets

This paper shows that monetary policy and prudential policies interact. U.S. banks issue more commercial and industrial loans to emerging market borrowers when U.S. monetary policy eases. The effect is less pronounced for banks that are more constrained through the U.S. bank stress tests, reflected in a lower minimum capital ratio in the severely adverse scenario. This suggests that monetary policy spillovers depend on banks? capital constraints. In particular, during a period of quantitative easing when liquidity is abundant, banks are more flexible, and the scope for adjusting lending is ...
International Finance Discussion Papers , Paper 1265

Working Paper
Monetary Policy across Space and Time

In this paper we ask two questions: (i) is the conduct of monetary policy stable across time and similar across major economies, and (ii) do policy decisions of major central banks have international spillover effects. To address these questions, we build on recent semi-parametric advances in time-varying parameter models that allow us to increase the VAR dimension and to jointly model three advanced economies (US, UK, and the Euro Area). In order to study policy spillovers, we jointly identify three economy-specific monetary policy shocks using a combination of sign and magnitude ...
Working Paper , Paper 18-14

Working Paper
The Dollar Channel of Monetary Policy Transmission

This paper documents a new dollar channel that transmits monetary policy across borders. Exploiting unique features of the syndicated loan market for identification, we show that changes in the euro-dollar exchange rate around ECB monetary policy announcements that are orthogonal to simultaneous changes in euro-area interest rates and stock prices affect U.S. leveraged loan spreads. Specifically, in response to dollar appreciation, investors require higher compensation for risk, and borrowing costs for U.S. firms increase. These findings imply a causal link between the U.S. dollar and ...
Finance and Economics Discussion Series , Paper 2025-046

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G15 3 items

G21 3 items

G23 3 items

F15 2 items

C54 1 items

E30 1 items

show more (4)

FILTER BY Keywords

PREVIOUS / NEXT