Title: International monetary policy transmission
Authors: Annika Schnuecker - DIW Berlin (Germany) [presenting]
Gregor von Schweinitz - Halle Institute for Economic Research (Germany)
Abstract: The purpose is to assess the macroeconomic effects of international monetary policy transmission for the United States, the United Kingdom and the Euro area. We use a Bayesian Proxy Panel SVAR in order to capture international linkages and to trace the dynamic responses of the macroeconomic variables. A specific selection prior incorporating the panel dimension allows the estimation of the large number of parameters in the PVAR model. The monetary policy shocks of the three regions are identified via changes in daily future contracts around policy announcement dates. We use changes in stock prices as second proxies combined with sign restrictions to disentangle central bank information shocks from the monetary policy surprises.