We provide new evidence on the spillover effects from US monetary policy for a large group of emerging market and advanced economies, focusing on the nature of the shocks driving movements in US interest rates. With an SVAR-IV model used to identify monetary policy, demand, and supply shocks, we find that an increase in US interest rates driven by demand shocks engenders a positive spillover to economic activity in the near-term, while an exogenous tightening of monetary policy has a large negative spillover effect, highlighting the importance of the trade channel. Furthermore, spillovers from US monetary policy shocks depend on the state of the business cycle, exerting larger effects when growth is weak outside the US. Finally, tighter US monetary policy affects the left tail of the growth distribution disproportionately: the fat left tail highlights the salience of growth at risk.

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美国货币政策的溢出效应：政策驱动因素和周期性条件的作用

我们提供了关于美国货币政策对一大批新兴市场和发达经济体的溢出效应的新证据，重点关注驱动美国利率变动的冲击的性质。通过使用 SVAR-IV 模型来识别货币政策、需求和供给冲击，我们发现，需求冲击驱动的美国利率上升会对近期经济活动产生积极的溢出效应，而货币政策的外生紧缩则对经济活动产生积极的溢出效应。政策负面溢出效应较大，凸显贸易渠道的重要性。此外，美国货币政策冲击的溢出效应取决于商业周期的状况，当美国以外地区增长疲软时，其影响会更大。最后，美国紧缩的货币政策对增长分布的左尾影响不成比例：肥大的左尾凸显了增长面临风险的显着性。