Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy
نویسندگان
چکیده
We quantify the role of global production linkages in explaining spillovers U.S. monetary policy shocks on country-sector stock returns. estimate a structural spatial autoregression (SAR) model that is consistent with an open-economy network framework. Using SAR model, we decompose total impact returns into direct and effects. Nearly 70% due to effect linkages. Empirical counterfactuals show shutting down halves shocks.
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ژورنال
عنوان ژورنال: Journal of Finance
سال: 2022
ISSN: ['0022-1082', '1540-6261']
DOI: https://doi.org/10.1111/jofi.13181