Research Seminar by Dr. Antonakakis
When / Where:
Wednesday, April 25th from 4:30 -5:30 pm in Room 4.07
The business and management department invites students and other members of the WVPU community to the Spring 2 faculty presentation of our Research Seminar Series. Please join us for Dr. Nikolaos Antonakakis' presentation on his research into international monetary policy shocks. He will speak about how he became interested in monetary policy, common policy shock examples, as well as the triumphs and setbacks he has experienced so far in his research. As with all of our faculty presentations in this series, students should leave with a better understanding of the research process - its pitfalls, challenges, and rewards. Both undergraduate and graduate students are encouraged to attend.
In this study, we examine the transmission of international monetary policy shocks across developed economies based on a time-varying parameter vector autoregressive (TVP-VAR) methodology. Using daily data on shadow short rates over the period of January 2, 1995 to September 22, 2017, we find the following empirical regularities. The transmission of international monetary policy shocks is an important source of domestic monetary policy fluctuations. Moreover, the magnitude of international monetary policy spillovers behaves heterogeneously overtime, with peaks reached during the “Great Recession”. In addition, the dominant transmitters of international monetary policy shocks are the Euro Area and the US, while Japan and the UK are the dominant receivers of international monetary policy shocks. Interestingly enough, international monetary policy shocks originating from the US are the largest during the zero lower bound and the related unconventional monetary policy actions era, indicating potential gains from monetary policy coordination.
Please feel free to download and share the PDF flyer for this event.