This post provides the current version of the paper titled "Monetary Policy Response or Economic Integration: What Drives International Monetary Policy Spillovers ?" by Peeters, B., Girard, A. and Gnabo, J.-Y. (forthcoming). This paper implements a new statistical estimation procedure based on a time-varying spatial regression model to assess the magnitude and the changes over time of international monetary policy interest rate spillovers. The estimation also relies on the building of a time-varying spatial weighting matrix based on international trade flows and a new dataset of monthly monetary policy interest rates.
Link to the PDF file: here
ADITIONAL USEFUL LINKS:
- Dataset on monetary policy interest rates
- R code to perform time-varying spatial regression analyses