The global reach of US monetary policy: suggestive evidence from the global financial crisis and the COVID-19 pandemic.
| dc.contributor.author | Greig, Jacob | |
| dc.date.accessioned | 2024-10-16T01:24:28Z | |
| dc.date.available | 2024-10-16T01:24:28Z | |
| dc.date.issued | 2024 | |
| dc.description.abstract | The focus of this thesis is examining the global reach of US monetary policy in the recent past for a sample of 78 different countries and currency unions. I investigate for which countries spillovers of US policy are most pervasive and how this has changed from the Global Financial Crisis (GFC) to the more recent COVID-19 pandemic. In the first part of my analysis, I examine the prevalence of the zero lower bound (ZLB) problem across these countries in the periods before and after the two crises. I find that the problem was generally restricted to advanced economies or those with currencies tied to the US dollar during the GFC and was more widespread following the outbreak of COVID-19. I then explore to what extent central banks around the world matched the expansion of the US Federal Reserve (Fed)’s balance sheet in both nominal and real (CPI-adjusted) terms during both periods. I find that rapid expansion of the balance sheet on the same scale as the US was not common in either crisis period, with three central banks exceeding the Fed’s balance sheet expansion following the GFC and six during the COVID-19 pandemic. Nonetheless, I find that during the COVID-19 pandemic, several central banks encountering the ZLB problem expanded their balance sheet by venturing into large-scale asset purchase (LSAP) programmes for the first time. In the second part of my analysis, I examine the relationship between US long-term interest rates and those in other countries. I find that the influence of US long-term interest rates is pervasive globally following the US monetary policy response to both the GFC and COVID-19. I also find that Euro Area long-term interest rates, and to a lesser extent those of Japan, had an influence on long-term yields in countries in their periphery. | |
| dc.identifier.uri | https://hdl.handle.net/10092/107673 | |
| dc.language.iso | English | |
| dc.language.iso | en | |
| dc.rights | All Rights Reserved | |
| dc.rights.uri | https://canterbury.libguides.com/rights/theses | |
| dc.title | The global reach of US monetary policy: suggestive evidence from the global financial crisis and the COVID-19 pandemic. | |
| dc.type | Theses / Dissertations | |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | University of Canterbury | |
| thesis.degree.level | Masters | |
| thesis.degree.name | Master of Commerce | |
| uc.college | UC Business School |