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Investigating Monetary Policy Spillovers from the United States of America to Jamaica

In: International Spillovers of Monetary Policy

Author

Listed:
  • André Murray

    (Bank of Jamaica)

Abstract

This paper investigates the evidence of monetary policy spillovers from the United States of America (USA) to financial conditions and monetary policy decisions in Jamaica. It utilizes the method developed by Lombardi and Zhu (2014) to derive shadow policy interest rates for Jamaica as well as the shadow policy rate for the USA derived by Wu and Xia (2016), then employs a standard structural vector auto regressive (SVAR) model to identify the monetary policy shocks. Utilizing shadow policy rates is key to identifying the true monetary policy stance in both countries given their extensive use of unconventional monetary policy tools following the 2008 global financial crisis (GFC), albeit for different reasons. The results suggest that there are direct monetary policy spillovers from the USA to Jamaica. However, the largest spillover was indirectly through the response of the monetary authority in Jamaica to the us policy’s impact on relative prices.

Suggested Citation

  • André Murray, 2017. "Investigating Monetary Policy Spillovers from the United States of America to Jamaica," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 9, pages 287-319, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    • Handle: RePEc:cml:incocp:3-09
    Note: Joint Research Program XX Meeting of the Central Bank Researchers Network
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    More about this item

    Keywords

    monetary policy; international spillovers; Taylor rule;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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