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Stock Market Spillovers via the Global Production Network : Transmission of U.S. Monetary Policy
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country-sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open-economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empirical counterfactuals show that shutting down global production linkages halves the total impact of U.S. monetary policy shocks.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Asoociation 2022 |
|---|---|
| Edisi | Volume 77, Issue 6, December 2022, Pages 3373-3421 |
| Subjek | Stock markets Spillover Global Production Network structural spatial autoregression |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | First published : 19 September 2022 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |