2024-10-27-IMF-高频货币政策冲击的新数据集（英）_49页_3mb
报告摘要
- New Dataset: A cross-country dataset of high-frequency monetary policy shocks for 21 advanced economies and 8 emerging markets (2000–2022).
- Methodology: Uses daily interest rate swap changes around central bank announcements; decomposes surprises into exogenous shocks and information effects.
- Key Findings:
- Small open economies' monetary policy decisions have significant cross-country spillovers.
- Contractionary shocks lead to exchange rate depreciation in emerging markets, challenging standard macro models.
- Spillovers may stem from information channels beyond trade and financial links.
- Conclusions: Provides insights into monetary policy transmission and spillovers, useful for further research.
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