Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 22, 2023 erstellt
Description:
Existing literature finds that U.S. monetary policy has powerful spillover effects on the Global Financial Cycle (GFC). We examine how important U.S. monetary policy shocks are relative to others in an estimation framework that allows for simultaneous identification of multiple shocks without timing or sign restrictions. We find that the most important driver is a shock to U.S. corporate bond spreads, or the excess bond premium. This shock is orthogonal to shocks to U.S. monetary policy, leverage of financial intermediaries, interest rate spreads, credit supply, risk aversion, and the macroeconomy. U.S. monetary policy shocks are important but considerably less so. We conclude that the hegemon of the U.S. in global financial systems may be rooted in the centrality of its financial intermediaries, and the dollar, rather than the Fed itself