A comparative assessment of the spillovers of US monetary policy shocks and its mitigation

Rohit, Abhishek Kumar and Dash, Pradyumna and Rao, Tripati D (2020) A comparative assessment of the spillovers of US monetary policy shocks and its mitigation. Economics Letters, 197.

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Abstract

We conduct a comparative assessment of the spillovers of three types of Fed’s monetary policy surprises, i.e., Fed funds rate (FFR), Forward guidance (FG), and Large-scale asset purchases (LSAP)on monetary autonomy in the periphery economies (PEs). We find these shocks to be significant in causing loss of monetary autonomy in the PEs. We also find that the macroprudential tools mitigate the degree of such impairment. This holds for two types of macroprudential policies, i.e., borrowertargeted and financial institutions-targeted. We find both of them to be most effective against the FFR shocks. Comparing the macroprudential tools, we find the financial institutions-targeted tools to be more effective than the borrower-targeted ones in mitigating the degree of impairment against all types of Fed shocks.

Item Type:	Article
Uncontrolled Keywords:	Trilemma; Macroprudential policy; Monetary policy surprises Monetary autonomy; Local projections
Subjects:	Finance
Divisions:	Finance and Strategy
Depositing User:	Mr. Muralidhara D
Date Deposited:	02 Nov 2020 06:45
Last Modified:	17 Dec 2020 09:28
URI:	http://tapmi.informaticsglobal.com/id/eprint/696

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