The International Transmission of Monetary Policy - FEDERAL RESERVE BANK of NEW YORK

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Staff Reports

The International Transmission of Monetary Policy

Number 845
March 2018

JEL classification: E52, F3, F4, G15, G21

Authors: Claudia M. Buch, Matthieu Bussière, Linda S. Goldberg, and Robert Hills

This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential micro-banking data for the years 2000 through 2015 to explore the international transmission of monetary policies of the United States, the euro area, Japan, and the United Kingdom. Two other studies use international data with different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U.S. policies, and bank-specific heterogeneity influences the magnitudes of transmission. The effects are supportive of the international bank lending channel and the portfolio channel of monetary policy transmission. They also show that the frictions that banks face matter; in particular, foreign currency funding and hedging considerations can be a key source of heterogeneity. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into nonbank lending generally are not large.

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Author Disclosure Statement(s)

Claudia M. Buch
I confirm that I have no relevant or material financial interests that relate to the research described in this paper.

Matthieu Bussière
I have no relevant or material financial interests that relate to the research described in this paper.

Linda Goldberg
The author declares that she has no relevant or material financial interests that relate to the research described in this paper.

Robert Hills
I confirm that I have no relevant or material financial interests that relate to the research described in this paper.

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