Image of Stock Market Spillovers via the Global Production Network : Transmission of U.S. Monetary Policy

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 NumberLocationAvailable
PSB lt.dasar - Pascasarjana (Koleksi Majalah)1
Informasi Detail
Judul Seri
-
No. Panggil
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Penerbit
USA : The American Finance Asoociation.,
Deskripsi Fisik
First published : 19 September 2022
Bahasa
English
ISBN/ISSN
1540-6261
Klasifikasi
NONE
Tipe Isi
text
Tipe Media
-
Tipe Pembawa
-
Edisi
Volume 77, Issue 6, December 2022, Pages 3373-3421
Subjek
Stock markets
Spillover
Global Production Network
structural spatial autoregression
Info Detail Spesifik
The Journal of Finance
Pernyataan Tanggungjawab
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