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High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks

Published online by Cambridge University Press:  31 July 2025

Michael Pfarrhofer  and
Anna Stelzer Open the ORCID record for Anna Stelzer [Opens in a new window]
Michael Pfarrhofer
Affiliation:
Department of Economics, WU Vienna University of Economics and Business, Vienna, Austria
Anna Stelzer*
Affiliation:
Monetary Policy Section, Oesterreichische Nationalbank, Vienna, Austria
*
Corresponding author: Anna Stelzer; Email: anna.stelzer@oenb.at
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Abstract

We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables across several major economies to address both static and dynamic spillovers. To identify structural shocks, we introduce a novel approach that combines external instruments with heteroskedasticity-based identification and sign restrictions. Our results suggest significant spillovers from European Central Bank and Federal Reserve policies to each other’s economies, global aggregates, and other countries. These effects are more pronounced for central bank information shocks than for pure monetary policy shocks, and the dominance of the US in the global economy is reflected in our findings.

Keywords

Bayesian panel vector autoregressionstructural identificationexternal instrumentsfactor modelcentral bank informationC32E52E5842

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Type
Articles
Information
Macroeconomic Dynamics , Volume 29 , 2025 , e122
Copyright
© The Author(s), 2025. Published by Cambridge University Press

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