A0607
Title: International spillovers of U.S. monetary policy: A mixed-frequency approach
Authors: Hsin-Yi Lin - National Chengchi University (Taiwan) [presenting]
Abstract: The international spillover effects of U.S. monetary policy shocks on other economies are examined by applying mixed-data sampling local projection (MIDAS-LP) methods. Given the mismatch in frequency between monetary policy decisions (often at high frequency) and macroeconomic variables (typically at lower frequency), MIDAS-LP techniques are applied to leverage information from high-frequency policy actions and low-frequency economic indicators. The empirical analysis demonstrates that incorporating mixed-frequency data improves the accuracy and robustness of estimated spillover effects compared to traditional single-frequency methods. Specifically, the model reveals heterogeneous impacts of U.S. monetary policy shocks across different countries, influenced by their economic structures and financial linkages with the United States. Results highlight the importance of accounting for frequency mismatches when evaluating monetary policy spillovers, offering policymakers refined insights into managing international economic interdependencies.
