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The Resource U.S. monetary policy normalization and global interenst rates, prepared by Carlos Caceres, Yan Carrière-Swallow, Ishak Demir, and Bertrand Gruss

U.S. monetary policy normalization and global interenst rates, prepared by Carlos Caceres, Yan Carrière-Swallow, Ishak Demir, and Bertrand Gruss

Creator
Author
Contributor
Summary
As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this comovement reflects synchronized business cycles. However, there is important heterogeneity across countries, and we find evidence of limited monetary autonomy in some cases. The co-movement of longer term interest rates is larger and more pervasive. We distinguish between U.S. interest rate movements that surprise markets versus those that are anticipated, and find that most countries receive greater spillovers from the former. We also distinguish between movements in the U.S. term premium and the expected path of risk-free rates, concluding that countries respond differently to these shocks. Finally, we explore the determinants of monetary autonomy and find strong evidence for the role of exchange rate flexibility, capital account openness, but also for other factors, such as dollarization of financial system liabilities, and the credibility of fiscal and monetary policy
Language
eng
Work
Publication
Extent
1 online resource (46 pages)
Note
  • "September 2016."
  • At head of title: International Monetary Fund, Western Hemisphere Department
Contents
  • Cover; Contents; Abstract; I INTRODUCTION; II DATA; III PASS-THROUGH FROM U.S TO DOMESTIC INTEREST RATES; IV WHAT CAN BE EXPECTED FROM U.S MONETARY POLICY NORMALIZATION?; V THE FED'S NORMALIZATION AND MONETARY AUTONOMY ELSEWHERE; VI EXPLORING THE DETERMINANTS OF MONETARY AUTONOMY; VII CONCLUSION AND POLICY IMPLICATIONS
Isbn
9781475543247
Instance
Label
U.S. monetary policy normalization and global interenst rates
Title
U.S. monetary policy normalization and global interenst rates
Statement of responsibility
prepared by Carlos Caceres, Yan Carrière-Swallow, Ishak Demir, and Bertrand Gruss
Title variation
United States monetary policy normalization and global interenst rates
Creator
Contributor
Author
Issuing body
Publisher
Subject
Genre
Language
eng
Summary
As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this comovement reflects synchronized business cycles. However, there is important heterogeneity across countries, and we find evidence of limited monetary autonomy in some cases. The co-movement of longer term interest rates is larger and more pervasive. We distinguish between U.S. interest rate movements that surprise markets versus those that are anticipated, and find that most countries receive greater spillovers from the former. We also distinguish between movements in the U.S. term premium and the expected path of risk-free rates, concluding that countries respond differently to these shocks. Finally, we explore the determinants of monetary autonomy and find strong evidence for the role of exchange rate flexibility, capital account openness, but also for other factors, such as dollarization of financial system liabilities, and the credibility of fiscal and monetary policy
Member of
Cataloging source
YDX
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Caceres, Carlos
Government publication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 No. 16/195 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Carrière-Swallow, Yan
  • Demir, Ishak
  • Gruss, Bertrand
  • International Monetary Fund
  • International Monetary Fund
Series statement
IMF Working Paper,
Series volume
WP/16/195
http://library.link/vocab/subjectName
  • Dollarization
  • Foreign exchange rates
  • Interest rates
  • Business cycles
  • Monetary policy
  • Business cycles
  • Dollarization
  • Foreign exchange rates
  • Interest rates
  • Monetary policy
  • United States
Label
U.S. monetary policy normalization and global interenst rates, prepared by Carlos Caceres, Yan Carrière-Swallow, Ishak Demir, and Bertrand Gruss
Instantiates
Publication
Copyright
Note
  • "September 2016."
  • At head of title: International Monetary Fund, Western Hemisphere Department
Bibliography note
Includes bibliographical references (pages 34-36)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Cover; Contents; Abstract; I INTRODUCTION; II DATA; III PASS-THROUGH FROM U.S TO DOMESTIC INTEREST RATES; IV WHAT CAN BE EXPECTED FROM U.S MONETARY POLICY NORMALIZATION?; V THE FED'S NORMALIZATION AND MONETARY AUTONOMY ELSEWHERE; VI EXPLORING THE DETERMINANTS OF MONETARY AUTONOMY; VII CONCLUSION AND POLICY IMPLICATIONS
Control code
961010850
Extent
1 online resource (46 pages)
Form of item
online
Isbn
9781475543247
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475543056.001
Other physical details
color illustrations
Specific material designation
remote
System control number
  • imfWPIEA2016195
  • (IMF)WPIEA2016195
  • (OCoLC)961010850
Label
U.S. monetary policy normalization and global interenst rates, prepared by Carlos Caceres, Yan Carrière-Swallow, Ishak Demir, and Bertrand Gruss
Publication
Copyright
Note
  • "September 2016."
  • At head of title: International Monetary Fund, Western Hemisphere Department
Bibliography note
Includes bibliographical references (pages 34-36)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Cover; Contents; Abstract; I INTRODUCTION; II DATA; III PASS-THROUGH FROM U.S TO DOMESTIC INTEREST RATES; IV WHAT CAN BE EXPECTED FROM U.S MONETARY POLICY NORMALIZATION?; V THE FED'S NORMALIZATION AND MONETARY AUTONOMY ELSEWHERE; VI EXPLORING THE DETERMINANTS OF MONETARY AUTONOMY; VII CONCLUSION AND POLICY IMPLICATIONS
Control code
961010850
Extent
1 online resource (46 pages)
Form of item
online
Isbn
9781475543247
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475543056.001
Other physical details
color illustrations
Specific material designation
remote
System control number
  • imfWPIEA2016195
  • (IMF)WPIEA2016195
  • (OCoLC)961010850

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