Journal of International Economics · 2025 · Georgiadis, Georgios、Jarociński, Marek
中文摘要
我们估计了美国常规与非常规货币政策的国际溢出效应。我们基于美联储一系列广泛沟通事件前后高频资产价格的意外变动，构建了衡量常规政策、前瞻指引和大规模资产购买 (LSAPs) 外生变化的新型指标。识别策略依赖于相对较弱的假设，并考虑了这些资产价格意外变动中潜在的内生政策成分——包括央行信息效应。我们发现：(i) 常规政策、前瞻指引和 LSAPs 均产生较大且可比的溢出效应；(ii) 这些溢出效应通过贸易渠道与金融渠道传导的程度相近；(iii) LSAPs 会立即引发美国与外国债券之间的国际投资组合再平衡，两者是相对接近的替代品，但 LSAPs 对期限溢价仅产生有限的溢出效应；(iv) 美联储所有政策工具都使新兴市场货币政策面临在稳定产出与物价和确保金融稳定之间的权衡，尤其是在资本流入方面。
Abstract
We estimate international spillovers from both conventional and unconventional US monetary policy. We use novel measures of exogenous variation in conventional policy, forward guidance and large-scale asset purchases (LSAPs), based on high-frequency asset price surprises around a broad set of Federal Reserve communications. The identification relies on relatively weak assumptions and accounts for potential endogenous policy components – including central bank information effects – in these asset price surprises. We find that: (i) conventional policy, forward guidance and LSAPs all generate large and comparable spillovers; (ii) these spillovers transmit through trade and financial channels to a similar extent; (iii) LSAPs trigger immediate international portfolio rebalancing between US and foreign bonds that are relatively close substitutes, but they produce only limited spillovers in term premia; (iv) all Fed policy measures create trade-offs for emerging market monetary policy between stabilizing output and prices vs. ensuring financial stability, particularly with regard to capital inflows.