Patterns of unconventional monetary policy spillovers during a systemic crisis

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. © 2023 Informa UK Limited, trading as Taylor & Francis Group.