Stock Market Spillovers via the Global Production Network: Transmission of US Monetary Policy

被引：33
作者：
Di Giovanni, Julian [1 ,2 ]
Hale, Galina [2 ,3 ,4 ,5 ]
机构：
[1] Fed Reserve Bank New York, New York, NY 10045 USA
[2] CEPR, Washington, DC USA
[3] UC Santa Cruz, Santa Cruz, CA USA
[4] Fed Reserve Bank San Francisco, San Francisco, CA USA
[5] NBER, Cambridge, MA 02138 USA
来源：
JOURNAL OF FINANCE | 2022年 / 77卷 / 06期
基金：
欧洲研究理事会;
关键词：
INTERNATIONAL TRANSMISSION; MACROECONOMIC IMPACT; WILD BOOTSTRAP; TRADE; SHOCKS; AGGREGATE; RISK; GLOBALIZATION; INFORMATION; COMOVEMENTS;
D O I：
10.1111/jofi.13181
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：3373 / 3421
页数：49
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