Agenda > Tous les événements

Stéphane Dèes

Banque de France & Larefi

« The Global Financial Cycle and US Monetary Policy in an Interconnected World »

Abstract
We assess the international spillovers of US monetary policy with a large-scale global VAR which models the world economy as a network of interdependent coun-tries. An expansionary US monetary policy shock contributes to the emergence of a Global Financial Cycle, which boosts macroeconomic activity worldwide. Against predictions of the Mundellian trilemma, we also find that economies with floating exchange rate regimes are not insulated from US monetary policy shocks. The role of US monetary policy in driving these macro-financial spillovers gets even rein-forced by the complex network of interactions across countries, to the extent that network e˙ects roughly double the direct impacts of US monetary policy surprises on international equity prices, capital flows, and global growth. This amplifica-tion increases as countries get more globally integrated over time, suggesting that the evolving network is an important driver for the increasing role of US monetary policy in shaping the Global Financial Cycle.