Patterns of unconventional monetary policy spillovers during a systemic crisis

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Ahmed Bossman, University of Cape Coast Ghana
Najaf Iqbal, Anhui University of Finance and Economics
Tamara Teplova, HSE University

Document Type

Article

Source of Publication

Applied Economics

Publication Date

1-1-2023

Abstract

We examine whether the COVID-19 pandemic-induced systemic shocks cause a change in the dynamics of monetary policy spillovers among developed economies. Results from our analysis under the time-varying parameter vector autoregressive model indicate that: (i) variations in monetary policy actions are explained by monetary policy spillovers; (ii) shocks from the COVID-19 pandemic rocketed monetary policy spillovers; (iii) the Euro area and the US chiefly propagate monetary policy shocks to their counterpart developed economies; and (iv) New Zealand and Japan endure the highest monetary policy shocks. Our results evidence the need for synchronized monetary policy actions during systemic crises.

DOI Link

10.1080/00036846.2023.2176463

ISSN

0003-6846

Publisher

Informa UK Limited

Disciplines

Business

Keywords

COVID-19 pandemic, Dynamic connectedness, Exogenous shocks, Shadow short rate, Unconventional monetary policy

Scopus ID

85148373703

Recommended Citation

Umar, Zaghum; Bossman, Ahmed; Iqbal, Najaf; and Teplova, Tamara, "Patterns of unconventional monetary policy spillovers during a systemic crisis" (2023). All Works. 5677.
https://zuscholars.zu.ac.ae/works/5677

Indexed in Scopus

yes

Open Access

no