12 December 2015 - 14 December 2015
London, UK
Tracking the global transmission dynamics of US monetary policy
Organized by the CFEnetwork, Queen Mary University of London, Birkbeck University of London and Imperial College London, the 9th International Conference on Computational and Financial Econometrics (CFE 2015) is a platform to share latest research that has computational or financial econometric components. The event hosts over 1250 participants and will take place at the Senate House, University of London, UK, between 12-14 December 2015.
World Population Program research scholar Jesus Crespo Cuaresma will present a new class of Bayesian Global Vector Autoregressive (BGVAR) models with drifting parameters that he developed together with colleagues from the National Bank of Austria and the Norwegian School of Economics in Session CO584 on Empirical macroeconomics on Sunday 13 December 2015, 10:55AM - 1:00PM.
For more information please visit the event website.
Presentation Abstract
A new class of Bayesian Global Vector Autoregressive (BGVAR) models with drifting parameters is proposed to track the dynamic effects of US monetary policy on other economies over the last three decades. In addition to assessing global linkages explicitly, the model specification accounts for time-varying parameters and stochastic volatility in order to analyze the spillovers from US monetary policy on the global economy in a very flexible manner. Our results suggest that a contractionary shock to US monetary policy (50 basis points increase in short-term US interest rate) leads to a persistent global contraction and a drop in global inflation rates, together with a rise in global interest rates, and a real depreciation of currencies with respect to the US dollar. We find evidence for important heterogeneity of the spillovers across countries and for changes in the transmission of monetary policy shocks over time.
