COVID-19

Monetary policy spillovers: a global empirical perspective

Crawford School of Public Policy | Centre for Applied Macroeconomic Analysis

Event details

Lecture

Date & time

Friday 08 May 2015
12.00pm–1.00pm

Venue

Brindabella Theatre, Level 2, JG Crawford Building 132, Lennox Crossing, ANU

Speaker

Dr Pierre Siklos, Wilfrid Laurier University.

Contacts

Rossana Bastos
61258108

In this talk Pierre Siklos will provide an overview of his recent paper Monetary policy spillovers - a global empirical perspective.

This paper sheds new light on the spillovers from US unconventional monetary policies by examining the behavior of select financial asset prices at the daily frequency and by incorporating a crucial element in the conduct of monetary policy, namely the tone of verbal announcements by central banks. Pierre eschews the event study approach and adopts a time series perspective. Monetary policy surprise easings are found to decrease yields in most economies since October 2008. The size of the response varies considerably across the economies examined, but for 10-year government bonds, they range from a 15 to 30 basis points reduction in yields in the United States, the United Kingdom and the euro zone. The impact was found to be larger on long-term sovereign bonds than on shorter-term assets, and stronger in major economies, such as the United Kingdom and the euro zone, and in Canada. His analysis also provides evidence that the tone of US Fed communication and a country’s own central bank policy statements, constructed using text analysis software, have a significant impact on asset prices. The impact of the tone of these statements has been notably stronger since the start of the crisis, with financial market reactions appearing to be relatively more sensitive to the content of statements during the post-crisis period.

Pierre Siklos received his PhD in 1981. He specialises in macroeconomics with an emphasis on the study of inflation, central banks, and financial markets. He also conducts research in applied time series analysis. His research has been published in a variety of international journals and he has been a consultant to a variety of institutions and central banks. His work has been widely cited in several macro and econometrics textbooks. He has also been a visiting lecturer at several universities around Europe and North America, Australia, and New Zealand. His research has been funded by domestic and international agencies.

Updated:  29 March 2024/Responsible Officer:  Crawford Engagement/Page Contact:  CAP Web Team