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International monetary spillovers

Author

Listed:
  • Boris Hofmann
  • Elod Takáts

Abstract

In recent years, interest rates have moved closely together worldwide, even though business cycles have been at different stages across countries. Boris Hofmann and Elod Takáts (BIS) ask how far international monetary spillovers have driven this co-movement, ie whether interest rates in core advanced economies are driving interest rates elsewhere. Studying 30 emerging market and smaller open advanced economies since 2000, they find that (i) US short- and long-term interest rates significantly affect the corresponding rates in other economies and (ii) these price spillovers do in part reflect policy spillovers. In other words, US monetary policy rates do influence policy rates in other countries more than might be expected from normal spillovers of macroeconomic conditions.

Suggested Citation

  • Boris Hofmann & Elod Takáts, 2015. "International monetary spillovers," BIS Quarterly Review, Bank for International Settlements, September.
    • Handle: RePEc:bis:bisqtr:1509i
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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