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Patterns of unconventional monetary policy spillovers during a systemic crisis

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  • Zaghum Umar
  • Ahmed Bossman
  • Najaf Iqbal
  • Tamara Teplova

Abstract

We examine whether the COVID-19 pandemic-induced systemic shocks cause a change in the dynamics of monetary policy spillovers among developed economies. Results from our analysis under the time-varying parameter vector autoregressive model indicate that: (i) variations in monetary policy actions are explained by monetary policy spillovers; (ii) shocks from the COVID-19 pandemic rocketed monetary policy spillovers; (iii) the Euro area and the US chiefly propagate monetary policy shocks to their counterpart developed economies; and (iv) New Zealand and Japan endure the highest monetary policy shocks. Our results evidence the need for synchronized monetary policy actions during systemic crises.

Suggested Citation

  • Zaghum Umar & Ahmed Bossman & Najaf Iqbal & Tamara Teplova, 2024. "Patterns of unconventional monetary policy spillovers during a systemic crisis," Applied Economics, Taylor & Francis Journals, vol. 56(14), pages 1611-1621, March.
    • Handle: RePEc:taf:applec:v:56:y:2024:i:14:p:1611-1621
    DOI: 10.1080/00036846.2023.2176463
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