Michael Pfarrhofer, Anna Stelzer
arXiv 6 Dec 2019 · Econometrics · publishedMacroeconomic Dynamics (2025)
arXiv:1912.03158 · PDF · DOI · OpenAlex · Extracted main text
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables across several major economies to address both static and dynamic spillovers. To identify structural shocks, we introduce a novel approach that combines external instruments with heteroskedasticity-based identification and sign restrictions. Our results suggest significant spillovers from European Central Bank and Federal Reserve policies to each other's economies, global aggregates, and other countries. These effects are more pronounced for central bank information shocks than for pure monetary policy shocks, and the dominance of the US in the global economy is reflected in our findings.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jarociński M (2022) Central bank information effects and transatlantic spillovers | 1.000 | 6 | 3 | 100% |
| 2 | Jarociński M, and Karadi P (2020) Deconstructing monetary policy surprises – the role of information shocks | 0.863 | 14 | 5 | 64% |
| 3 | Chan J, Eisenstat E, and Yu X (2022) Large Bayesian VARs with factor stochastic volatility: Identification, order invariance and structural analysis | 0.811 | 4 | 2 | 100% |
| 4 | Korobilis D (2022) A new algorithm for structural restrictions in Bayesian vector autoregressions | 0.811 | 4 | 2 | 100% |
| 5 | Ca'Zorzi M, Dedola L, Georgiadis G, Jarocinski M, Stracca L, and Str… (2023) Making waves: Monetary policy and its asymmetric transmission in a globalized world | 0.737 | 3 | 2 | 100% |
| 6 | Baumeister C, and Hamilton JD (2015) Sign restrictions, structural vector autoregressions, and useful prior information | 0.644 | 2 | 2 | 100% |
| 7 | Caldara D, and Herbst E (2019) Monetary policy, real activity, and credit spreads: Evidence from Bayesian proxy SVARs | 0.644 | 2 | 2 | 100% |
| 8 | Huber F, Krisztin T, and Pfarrhofer M (2023) A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies | 0.644 | 2 | 2 | 100% |
| 9 | Miranda-Agrippino S, and Nenova T (2022) A tale of two global monetary policies | 0.644 | 2 | 2 | 100% |
| 10 | Cesa-Bianchi A, and Sokol A (2022) Financial shocks, credit spreads, and the international credit channel | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 64 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
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| 1 | Large structural VARs with multiple linear shock and impact inequality restrictions | 0.405 | 1 | 1 |