How macroprudential regulation shape US monetary policy spillovers: a bayesian GVAR analysis

• Autor(a) principal: Baptista, Matthew Fontes
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/143061
• topic: Banking regulation; Monetary policy; Macroeconometrics; Global var; International macroeconomics; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

We build a 26 country Bayesian Global VAR model to estimate the global spillovers of US monetary policy. Two alternative identification schemes are used (Cholesky, sign restrictions) to identify this shock. We assess its impact on domestic credit, interest rates, exchange rates and GDP growth. Once the IRFs are estimated, we compare them to macroprudential regulations, to understand whether those are effective in spillover mitigation. We manage to reproduce the stylized facts in international macroeconomics: US monetary contractions lead to a global decrease in output and credit, and depreciate foreign currencies. On macroprudential policy, results are mixed, and we find isolating properties only on credit. The iMaPP seems to amplify output and interest rate spillovers, and its effect depends on the trade channel too. Acknowledgements